Trading the SPOOs with Patrick Slevin! Message Board

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Strategies & Market Trends : Trading the SPOOs with Patrick Slevin!

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To: Patrick Slevin who wrote (4407)	4/13/2000 4:28:00 PM
From: fut_trade	Read Replies (1) of 7434

Here's another try. I limited the stocks to the 100 OEX stocks (Notice, however, that the market cap of Sears is but a small fraction of the market cap of MSFT, GE and CSCO). Beta = (P/Po)/(S/So) P = stock close Po = previous day stock close S = SPX close So = previous day SPX close I then took the average value of Beta over the last 10 days. Here is the result: Low Beta MSFT 0.974 RAL 0.977 NT 0.978 TXN 0.984 WMB 0.987 CSCO 0.988 TEK 0.988 LU 0.990 UIS 0.990 T 0.990 ORCL 0.991 SLB 0.993 High Beta S 1.029 AVP 1.029 NSC 1.027 LTD 1.024 HNZ 1.022 F 1.022 PG 1.020 PHA 1.020 DD 1.020 COL 1.018 TAN 1.018 IP 1.018

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