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Strategies & Market Trends : Options 201: Beyond Obi-Wan-Kenobe
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To: OX who wrote (765)2/24/2003 12:38:13 PM
From: tyc:>  Read Replies (1) of 1064
 
The closing prices of AGE-TO can best be viewed on Yahoo by asking for "Historical prices" in the chart.

Remember, I am not calculating standard deviation but simply USING the standard deviation figures provided for us by Bollinger Bands.

The Bollinger bands tell us that TWO Standard deviations from the mean is $19.76 on the downside and 24.02 on the upside. (mean = 21.89)

Statistically we would expect ~ 90% of the observations to fall within 2 std deviations of the mean. In actual fact ONE of the observations (closing prices) exceed $24.02, and only TWO observations fall below the range on the downside.

So there is no way that the volatility of the closing prices was higher than the Bollinger band calculations say they were. Moreover the 2SD profit range for a 22% volatility neutral hedge (strike at mean)would have turned out to be pretty efficacious wouldn't it ? (In retrospect only, of course)
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