Study 1: Predicting Future Upper Bounds
By forecasting future drawdowns & "drawups", we can estimate future price ranges
Motivation: Betting on Ranges
Strangles and many other option trades allow you to profit from the underlying price staying within a particular future range. If we can roughly estimate the probability of the stock landing in that range, we can determine whether the long strangle has any edge. One way to measure edge is to multiply the probability of each …