Accuracy of OSCC Futures Programs

Future's momentum.

Futures are driven by the consensus opinion of all traders. If all the traders think that the futures are going to go up, the futures just fly. However, if only 60% of the traders think they are going up, the futures move more slowly. They have less inertia to rise. This is called momentum. Our OSCC Future's Momentum is a measure of that inertia. The futures are like a rubber ball thrown at a wall . When it reaches the wall it begins to slow down giving up its momentum. As it springs back from the wall it regains its momentum, but in a different direction. Futures are the same. When  traders see that they have reached as far they think they should go the futures lose their steam in going in the direction they had been moving. and pick up momentum in the other direction.

Our "Today's Calculated Future"

This is our estimate of what the future would be if it expired today.
One year out is 365 days from "today"

To read about other changes in the last few weeks  click here.

See our discussion of Option Premium Momentum.

Basic program.

The OSCC FLOOR VALUE depends on knowing the present value of the underlying future. This works fine for the near term option contracts, as there usually is enough volume to keep the options updated. In the past if an option contract was more than 3 months beyond the present near term contract there was sufficient volume in that future that the options were updated constantly. This no longer appears true. This can easily lead to some poorly priced estimates of options prices for contracts 3-9 months in the future.

Back to Premium explanation

Estimated Future.

What we have done therefore is attempt to estimate the value of the future for these far out option contracts, Another set of algorithms was created to accomplish this. The result was that the percentage of trades "Direct Hits" in the "OSCC Diff = 0 and +/- 1" range jumped by 20-30% in these far out contracts. This was sufficient for us at this time to use this estimate without trying to enhance its accuracy. No attempt has been made to track or test this accuracy either, although the parameters are used for comments on the futures. A short remark will occasionally be made on the futures on the comment page. A chart was created to depict the range of future values we use to determine the value of the options in the back months when that contract does not have a future more current than the front month. The left side of the chart is the value of the futures should they expire today and the right side shows how much change in the value of the futures is predicted if it expires one year from today. See Futures charts.

We also have a new "chart explanation page" to help explain what these charts show and how to use them.
For a better understanding of what we do please read these pages.
--- About Us What we found that prompted us to develop our option program.
--- The OSCC overview of option trading.
--- The OSCC Option Model.
--- Products
--- The Accuracy of the OSCC Option Model.

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