Option Spreads, Credit my Debit Message Board

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Strategies & Market Trends : Option Spreads, Credit my Debit

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To: KFE who wrote (1614)	8/25/2000 12:28:02 PM
From: OX	Read Replies (1) of 2317

"Remember that index options are not generally subject to underlying arbitrage and therefore can have a negative call skew." hi Ken, does this have to do with euro-style expiration of most index options? (i.e., i understand that lack of early exercise tends to effect the pricing of euro-style options, is this what you mean?) "If the BSM model was truly efficient there would not be any skew." won't the skew still exist regardless of the options model used? (i know there are limitations to BS, but I wasn't aware of this aspect) re: BS "I have to do it the old fashion way." Ken, I suspect you've been trading options so long, you have a better "feel" for pricing and volatility movements you probably don't need to use an options calculator very often... just a guess ;-) <btw, that was a compliment, in case that wasn't clear>

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