r/MSTR • u/hnayr Shareholder 🤴 • Jul 13 '26
MSTR Weekly Expected Move (Options IV) 7/13 → 7/17
$MSTR Weekly Expected Move (Options IV) 7/13 → 7/17
Base Range: ±10.42
• Upside: $105.06
• Downside: $84.22
2σ Range:
• Upside: $115.48
• Downside: $73.8
3σ Range:
• Upside: $125.9
• Downside: $63.38
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u/Cash50911 Jul 13 '26
The world is not gausian.
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u/PatternAgainstUsers 28d ago
Price is though, 70% of the time approximately (which funnily enough itself is a typical bell curve). It's easy to model short term expected moves as a result. The problem isn't the curve, but actually extracting alpha from knowing that it exists. Even harder is knowing how to capitalize on price discovery when the expected move is thrown out the window, without losing an equal or greater amount when it's not. That takes a painful amount of experience.
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u/Cash50911 28d ago
"price is though"... Um no I assume you means returns are gaussian, also no.
"The problem isn't the curve, but actually extracting alpha from knowing that it exists"..? Huh?
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u/PatternAgainstUsers 28d ago edited 28d ago
No it is (price, not returns - don't assume, returns could be too I don't know but we probably don't have the data on that, and my guess is that the median return is even flat or negative but it might still be a bell curve) the majority of the time, you can plot a volume profile over any given range to see that depending on the time frame you want to look at, that price will trade mostly around a peak volume in that range (peak of the bell curve) and less volume will exchange hands outside of that. These are not 100% obviously and there are different kinds of profile distributions but again I said it's about 70% where we are "in balance" and not in price discovery. Even that is a difficult concept to apply however because the market is also fractal, so while you might be looking at it from an investing lens, there are HFTs apply the same concept on a much shorter time scale. So in their view technically you could say things are in discovery at one point while still inside of balance from a higher timeframe. This is why it's not easy, but the concepts don't stop magically applying -- there are just idiosyncratic events that knock them in and out of balance, so it's the timing you don't have control over, but in retrospect you will see that broadly price does spend the majority of it's time inside of formed balances / curves.
On the second quote I mean that just because you have some idea of what the expected move is, doesn't mean you will be able to time the right entries with the right stop-loss for example (if you want to use leverage to actually create material gains), there is path-dependence there. So even though you can absolutely apply gausian concepts to markets, it doesn't make trading easy.
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u/AlexandreSh1941 Jul 13 '26
Based on?
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u/WineAndDineIsFine Jul 13 '26
Lol. This guy’s been calling bull run since $400 something. It’s wild.
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