Here's some interesting news to mull over...
Suppose that Bllomberg does run, now that he's officially an independent. In our first-past-the-post plurality system, who does this hurt the most?
Suppose for a minute that there was a truly conservative minor party, at least minor as compared to the GOP. Would they have a chance to walk away with it, if you assume that Bloomberg would appeal to "conservative" Democrats and "moderate" (read: liberal) Republicans?
Assuming that to be successful, a third party must displace an existing, established major party, I don't see Bloomberg pulling it off. But he could change the dynamic if he runs, no question about that.