SCZ Forecast


Bullish Case: SCZ's long-term holding returns show higher probability of price recovery and growth, and bullish risk outweighs bearish by 69%. Investment inflows by institutional investors suggest market confidence.


Bearish Case: Short-term implied volatility surfaces indicate market uncertainty, with higher implied volatilities around current price levels. Recent price action is flat, with higher trading volume in puts.


Potential Outcomes:

1. Continued flat performance: 20%

2. Mild price increase: 40%

3. Significant drop due to high implied volatility: 40%


Trading Oracle: Pursue credit spreads (Helium Short Volatility) focused on SCZ's higher strike prices (>62) for expiration within 80 days. The strategy profits from higher implied volatility and flat price action leveraging high-risk bearish skew.


June 28, 2024


BlackRock Institutional Trust Company N.A. - iShares MSCI EAFE Small-Cap Forecast

SCZ      BlackRock Institutional Trust Company N.A. - iShares MSCI EAFE Small-Cap











Correlated Assets

Assets that tend to move strongly with SCZ



ETRN Forecast + Options Trading Strategies   ETRN  Equitrans Midstream (0.91)


XLE Forecast + Options Trading Strategies   XLE  Energy Select Sector SPDR (0.47)


VFC Forecast + Options Trading Strategies   VFC  VF (-0.58)


LI Forecast + Options Trading Strategies   LI  Li Auto (-0.6)



Uncorrelated Assets

Assets with little price relationship to SCZ



XLE Forecast + Options Trading Strategies   XLE  Energy Select Sector SPDR (0.47)


VFC Forecast + Options Trading Strategies   VFC  VF (-0.58)


LI Forecast + Options Trading Strategies   LI  Li Auto (-0.6)


ETRN Forecast + Options Trading Strategies   ETRN  Equitrans Midstream (0.91)



Anticorrelated Assets

Assets that tend to move strongly against SCZ



ETRN Forecast + Options Trading Strategies   ETRN  Equitrans Midstream (0.91)


XLE Forecast + Options Trading Strategies   XLE  Energy Select Sector SPDR (0.47)


VFC Forecast + Options Trading Strategies   VFC  VF (-0.58)


LI Forecast + Options Trading Strategies   LI  Li Auto (-0.6)





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