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Strategies & Market Trends : Implied Volatility
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To: Merlo who wrote (26)7/28/1997 4:36:00 PM
From: Jay Baca   of 44
 
Merlo - here is a sample page from that IV software I want you
to download when you got a chance. It is free for a month.
Download/setup time is about 10 minutes.

Maybe you can study this - and make a comment.

Thanks,

J

Saved 0 Progress 41 Interest 5.0%
ADVANCED MICRO DEVICES INC
Symbol.... AMD Tick...... No Change Exchange.. New York
Last...... 35.4375 Bid....... 0 Ask....... 0
Change.... 0.3125 Size...... 1500 Time...... 16:09
Open...... 35.1875 High...... 36.1875 Low....... 34.9375
Previous.. 35.125 Volume.... 1453000 B A Size.. 0x0
52 Wk Hi.. 48.5 52 Wk Lo.. 11.75 Ex-Div.... 00/00/00
Dividend.. 0 Yield..... 0 Div Freq.. not avail.
E/Share... 0.27 P/E....... -131.25 Shrs Out.. 140295

Call MIV.. 49.1% Put MIV... 53.0% Volty..... 45.4%
Open Int.. 7445 Open Int.. 3168 Trend..... ?
Volume.... 526 Volume.... 612 7/28/97 4:32:13 PM

Root | Expiration: Days | Expiration: Days |
Symbol| Month Date To Go | Month Date To Go |
-------|---------------------|---------------------|
IVal | Last Bid Ask | Last Bid Ask |
Strike| ThPrc Price OpenInt | ThPrc Price OpenInt |
Price | Symbol MIV Volume | Symbol MIV Volume |
*******|******* Calls *******|******* Calls *******|
AMD | H 08/16 19 | I 09/20 54 |
-------|---------------------|---------------------|
5.438 | 5.875 5.375 5.875 | 6.5 5.875 6.375 |
30.0 | 5.588 5.875 22 | 6.135 6.5 0 |
F | AMDHF 68.4% 0 | AMDIF 56.4% 10 |
-------|---------------------|---------------------|
0.438 | 1.813 1.625 1.875 | 2.875 3.0 3.375 |
35.0 | 1.733 1.813 845 | 2.807 2.875 105 |
G | AMDHG 47.9% 162 | AMDIG 46.7% 129 |
-------|---------------------|---------------------|
nil | 0.375 0.313 0.438 | 1.25 1.063 1.25 |
40.0 | 0.245 0.375 6166 | 1.015 1.25 307 |
H | AMDHH 52.1% 88 | AMDIH 50.4% 137 |
*******|******* Puts *******|******* Puts *******|
AMD | T 08/16 19 | U 09/20 54 |
-------|---------------------|---------------------|
nil | 0.188 0.0 0.188 | 0.625 0.5 0.75 |
30.0 | 0.073 0.188 20 | 0.476 0.625 405 |
F | AMDTF 56.6% 0 | AMDUF 50.1% 40 |
-------|---------------------|---------------------|
nil | 1.25 1.188 1.438 | 2.375 2.188 2.563 |
35.0 | 1.205 1.25 2509 | 2.111 2.375 229 |
G | AMDTG 46.8% 189 | AMDUG 50.4% 63 |
-------|---------------------|---------------------|
4.563 | 4.0 4.625 5.0 | 5.875 5.5 6.0 |
40.0 | 4.704 4.0 1245 | 5.283 5.875 5 |
H | AMDTH n/a 232 | AMDUH 57.6% 320 |

ABBREVIATIONS:
IVal = Intrinsic value Price = Price used to calculate MIV
Last = Latest price OpenInt = Open interest
ThPrc = Theoretical price (based on the Volty below)
Volty = Historical volatility (annualized)
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