저자: KirkRoss?미상 · 외국인
요약 보기
S&P500이 저점 6350에서 7089까지 V자 반등, 옵션 확률 분석상 6월 만기 내 6580(하락 500p) 도달 확률 약 20%(터치 40%), 12월 기준 상하 확률 유사(6575 터치 66%, 7575 ITM 34%). 풋 스큐가 있어 단기 하락 리스크가 시장에 가격 반영됨. Tom Lee는 향후 18~24개월 최고의 상승장 가능성 언급, AAII 비관 심리 51.4%가 과거 12개월 평균 16% 상승과 연관된다고 인용. 단기 변동성(VIX 20 이상, 유가 90 부근) 여전하다는 입장.
다듬은 글
Two weeks ago, I ran a math check on the S&P 500 when it was trading at 6600, 400 points lower than where we are now. There was a 22% probability of being in the money on the 7,000 strike by June. We're at 7060 now, in the money. Crazy times. Even with the sell-off today. These probabilities look much different after the historic rally in SPX, but there's some interesting skew differences when we look at June versus December probabilities now.
Tom Lee was on CNBC yesterday saying that the next 18 to 24 months could be the best market run of our lives. The AAII retail sentiment data backs him up. On April 2nd, at the height of the war panic, 51.4% of retail investors were bearish. Since 1987, every time the AAII bearish sentiment has cleared 50%, the S&P 500 has returned an average of 16% over the next 12 months.
The retail fear he is describing is real, and it's happening already. Let's dive into the probabilities with this edition of Options Math Check. So, we're in the tastytrade platform, and we are looking at SPX, and my oh my, what a rally we have seen from the bottom of the end of March, 6350 is kind of where we were at, all the way up to 7089 right now.
That is a gigantic V bottom, and we are now well above the highs that we had seen prior to the war panic, and really just all of 2026, we're well above it. So, probabilities are totally different than what we looked at a week ago, two weeks ago. We've been checking in on the S- SPX uh probabilities pretty frequently, but I think there's some interesting stuff now when we look at the probabilities for June of reaching certain levels.
I'm looking at 500 points to the downside and 500 points to the upside uh out in June, and then also out in December. And I think to Tom Lee's point, there is still some volatility here in the near term. He was calling for a market correction uh with the new Fed chair coming, and uh just the general the sentiment still remaining in the crude oil futures, for example, still hovering around 90.
Nothing uh is saying that we are out of the woods just yet, and the VIX is above 20. VIX futures are still elevated, so we're still looking at some volatile times, and the markets are telling us that we should still expect some volatility. So, looking at SPX, again, looked at 500 points to the upside and downside, so I've already got this loaded.
I'm looking at the 6580 put out in June, and we're looking at a probability of about 20% of being in the money by June uh at the expiration 57 days out. That'd be pretty wild. I don't uh you know, I would be surprised to see us get back down there simply because all of that move to the downside, or most of it, was due to the war concern, and uh yes, the the ceasefire could be ending anytime now, could be extended.
We will see, but uh it would be a big move if we get back down there towards that 6500 level. Probability in the money, if you just double it, you look at probability of touch, and that is the probability of the strike being in the money at any point during the expiration uh of that option cycle. So, within 57 days getting down there, about a 40% probability, so not zero, certainly not zero.
Now, what's really interesting to me about this cycle is that you have huge put skew here to the downside, which tells us that if we're going to see a move of 500 points, the market is perceiving that move to be to the downside. We've already seen a massive rally from the lows to new highs, and uh I think the market's telling us that given the current state of everything from uh the the global sentiment and all these earnings that are coming up, yada yada yada, we've got a much higher probability, or at least the market's perceiving a higher probability of a downside move of 500 points compared to the upside in the next 57 days, which would bring us outside of the expected move all the way up at 7580, about 11% probability that we're in the money there.
So, twice the probability of being in the money to the downside relative to the upside, and these the premiums here are significantly lower. Looking at two grand on the SPX 7580 call relative to the 6,000 strike uh or sorry, the 60 dollar strike at the 6580. So, six grand relative to two grand tells you everything you need to know in terms of the market pricing in velocity risk to be to the downside there.
Now, what's really interesting is, like we just showed, we're seeing put skew. You got twice the probability of being in the money to the downside 500 points. You got three times the amount of premium, but when we look at the end of the year, we see a different story. So, 240 days out going to the December monthly cycle for 2026, let's look at those same strikes or similar strikes.
Let's look at the 7580, we'll call it the 7575 since we have 25 point strikes up here. Uh so, 7575, pretty close. And then we'll go down to the 6575, 75, and we'll take a look at the probabilities here. So, 6575, 500 points out of the money, 32% probability of being in the money, and a 60 cent 66% probability of touch.
So, you should expect to see these probabilities much higher with 240 days relative to 50 some odd days, just because there's more time. More time means a wider range of outcomes in the S&P 500, so we're looking at an 800 point range here in December, significantly more than what we were looking at in June, but bigger probabilities and more than a coin flip that we at least touch this level sometime this year, 6575, even now after the big rally.
But, what's interesting to me is you have a 34% probability of being in the money to the upside, 7575. And that was one of the one of the price points a lot of analysts were using, 7600, 7700, around that range, uh which would be, you know, just under 10% from here. We've already seen a 10% rally from the lows from the uh end of March to now.
Another 10% would bring us around this level, 7600, 7700, if we were to get there. But, as you can see, a higher probability of being in the money on the upside here, 34% relative to 32, and that skew is gone. So, we have to account for the fact that upside calls, the further out in time you go in the S&P 500, you're going to have interest rate premium priced in there.
So, the further out in time you go, you're going to see these calls be more expensive than equidistant puts simply because of the interest rates helping those value uh the valuations be higher, but still interesting to see that even with the s- the lack of skew here, these options are almost the exact same price, we have a higher probability of an upside move relative to a downside move at the end of the year.
So, to Tom Lee's initial prediction, putting some math behind it, big uh probability of velocity move to the downside over the next 60 days. Uh again, I think it's because we're not out of the woods yet. Uh obviously, these probabilities can change. Again, two weeks ago, these things looked very different, and we were significantly lower in the S&P 500.
So, keep your eyes peeled, keep your risk small. Let me know what you think about this analysis. Uh let me know if you think we'll be to the upside around 7600, or if we'll get to the downside first. Maybe we don't get to either of those levels. Maybe we just chop around here for the rest of the year.
Let me know what you think in the comments below this video. If you like this video, please like it, .
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