Predicting S&P 500 Closing Prices – April 2012 Edition

Every options expiration day (of which Friday was one…) brings another one of these sweet predicting the S&P 500 articles, where I use my ultra-top-secret volatility calculator to tell you where the market is predicting the S&P 500 will move in the near future!

Establishing a Prediction Track Record!

This is now the third time I’ve brought these predictions to you, and we’re starting to see if the method has any usefulness when it comes to predicting market movements.  For a discussion of methodology, see our original article, predicting the market from January.  Our methodology changed some in March (we skipped February) where we changed the number of trades necessary for a contract to move the model.  We now have six verified points (put/call pairs from January and March which have expired).  You can click those links to see verification of the predictions.

January February Prediction (Fail)
January April Prediction (Pass – Put, Fail – Call)
March April Prediction (Pass)

3/6 isn’t bad!  SPY closed at 137.95 Friday.  You can multiply by 10 to get an idea of the S&P close/predictions, but this model works off the ETF SPY.

Predicting S&P 500 Close for May 18, July 20, and December 21 2012

Let’s kick it off with a chart of the prediction implied by the puts…


And another chart showing how call contract traders are predicting the future…


Here’s the data table which goes along with the data.  Remember, multiple by 10 to get the approximate S&P 500 closing price on those dates as predicted by the markets as of last weekend.


It seems that last month’s predictions pegged the market well, even if the January ones were all over the map.  If it’s true?  More sideways to slightly down markets ahead!  A choppy market in an election year?  Say it isn’t so!  A quick glance at the charts shows both calls and puts imply we’ll probably close lower than today in December.

Do you agree with what the market is implying?  Are these predictions bogus?  3 out of the 6 expired predictions are right – is it too soon to tell if the model works?


  1. says

    More profit protection.  There’s definitely more to lose here than there is to gain.  I sound like a broken record, but it’s really all about Europe.

    • says

      Uncertainty? Isn’t the time to buy when there is blood in the streets?

      I’m still buying shares pretty hard lately, but we’ll see if it backfires!