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Strategies & Market Trends : Trading the SPOOs with Patrick Slevin!
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To: Gersh Avery who wrote (6251)8/13/2000 11:56:47 AM
From: Patrick Slevin   of 7434
 
I think I follow you but what you are saying isn't really that the Sept climbs and the December drops, I think you are seeing that the spread between the two narrow. It would be a logical function of time decay and premium burn.

Because of the thin Dec float any order, Buy or Sell, should be executed with a Limit.

In theory, one might expect the FV to be precisely the same for each contract. For example if it's at 2 for the September at any given time and 22 for the December at any given time then a market with zero volatility would have it 20 points apart all the time.

But that is Ivory Tower stuff.
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