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Strategies & Market Trends : MDA - Market Direction Analysis
SPY 675.02+0.9%Nov 25 4:00 PM EST
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To: Temple Williams who wrote (59058)9/18/2000 1:25:00 AM
From: Gersh Avery  Read Replies (1) of 99985
 
Hi Temple ..

Sorry .. part two.

Something that may interest you. You might wish to look at prem two days before contract expires.

The reason that I mention it is because of this latest roll over time. Many people had mentioned the very large OI on the September contract. I took note of that and proposed a method to take advantage of the situation.

My thinking was that this large OI situation would have to be resolved when the contracts expired. As these contracts would most likely be hedged, the resolution would take one of two actions. Either sell the underlying stock or roll over the contract.

The action of rolling over the contract would have the effect of raising the prem on the Sept while depressing the prem on the Dec. My suggested potential method, at that time, was that, during intraday trading, every time a person would do a sell to use the Dec and when doing a buy to use the Sept. Net at expiration would be short Dec and long Sept to take advantage of the roll over that would be taking place.

So while the December prem was depressed as a result of roll over I believe that the Sept was high at the same time.

Now then .. I haven't even looked at that data to confirm that this took place .. so if you want to look go for it ..

Yes .. you are right about the Dec prem being depressed.
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