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Strategies & Market Trends : Stock Attack -- A Complete Analysis
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To: Haim R. Branisteanu who wrote (32790)10/12/2000 8:35:42 PM
From: jjs_ynot  Read Replies (2) of 42787
 
Haim,

In my statistical evaluation of the Max-Pain effect; once the difference between Max-Pain (option parity) and the current price gets more than about 4 strike prices no meaningful correlation was found. This may be due to hedging by MM's and hedge funds or the fact that market conditions overwhelm option price pressure.

BWDIK

Regards,

Dave
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