in the spooz the past three days (last 4 closes)
1191.50
1190.25
1191.00
1190.25

contrary to randowm walk i find that three day streaks where the market trades very narrow (cls-cls <.25% for three or more days in a row) to be much more infrequent than simple random simulations would indicate. the fourth day usually shows a large breakout in one direction or the other. on the whole, contrary to expectations and most recent two cases (case rate) the 1990-2004 data indicates that whenever the market trades in such a narrow range for 3 or more days it is very bearish for the next day. but in any case large (>1.25%) one day moves tend to follow

e.g. cash sp 1997-04
3 days cls-cls < .003% of index
N=11
Next day
-17.34
-14.59
-12.3
-11.89
-11.6
-10.21
-1.98
4.58
13.59
20.76
25.05

I don't like paying all that premium for a straddle. And I really don't like admitting that I don't have a clue which way the market will go, but whichever way it goes I think it'll be big. But this seems like a made to order scenario for say an 1195 Dec call and an 1185 put. Or even 1200 and 1180 with the magnitude of those moves.

I suppose it's too much to ask after you've generously revealed a fishing hole to ask just how you'd fish it. But if you're feel magnanimous...

Todd

was short today