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Strategies & Market Trends : Stock Attack -- A Complete Analysis
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To: Louis V. Lambrecht who wrote (39404)12/27/2000 11:31:41 PM
From: Gersh Avery  Read Replies (1) of 42787
 
Re some sort of arb play on options today ..

Sounds like the play did something like this:

Write deep in the money puts on beaten down major stocks .. take the some of the proceeds and buy near the money OEX puts.

I noticed two items that people here mentioned .. large volume of deep in the money MSFT puts and a strong spike in the VIX. The above play would have done both of these.

Percentage gain in the near the money OEX puts would be much greater than the loss in the deep in the money written puts. If the market moves up the beaten down stocks would probably move up the most. A winner either way .. largest gain if the market moves down.
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