There are three kinds of lies: Lies, Damn Lies and Statistics

-Mark Twain

We need to understand the limitations of probability.

A 1 Standard Deviation move 10 days out is much more likely to be violated than a 1 Standard Deviation move 40 days out. This seems to undermine the purpose of probability measures and might be contrary to our expectations.

The noise built into the market can easily violate short duration 1 Standard Deviation moves. To violate longer duration 1 Standard Deviation move, the market must make much more sustained moves. The back and forth character of financial markets makes this much harder to achieve.

An Iron Condor with a 70% probability of expiring at a profit also has roughly a 70% probability of breaching one of the short strikes at some time during the trade. A 70% probability of profit seems great but the probability of profit give any accounting for the chance of being tested during the trade.

Modifying our initial prediction provides some advantage because our original choice is usually wrong.

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