Let's use binomial probability to detect the change.
Current futures = 19500 (Today closing)
Expected futures = 18500
Date from 5 Jan 17 to 10 Mar 17 = 64 days
Upside deviation for past 1 month= 2.51%
Downside deviation for past 1 month = -1.32%
Risk-free rate = 2.46% as of 4 Jan 16
After inputting all these parameters, the downside probability is 54.2% vs upside probability of 45.8% which is a stark contrast to our posting 2 days ago. The stark outcome is due to changes in some parameters and is the reason for our buy call termination.
Nikkei futures closes at 19,275 today.
ReplyDeleteNikkei futures closes at 19,140 today.
ReplyDeleteNikkei closes at 19,080 today.
ReplyDeleteNikkei futures closes at 18,870 today.
ReplyDeleteNikkei futures closes at 18,855 today.
ReplyDelete