Expirationless Options (XPOs)- The Next Big Thing Message Board

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Strategies & Market Trends : Expirationless Options (XPOs)- The Next Big Thing

XPO 141.09

+0.7%

Dec 24 12:59 PM EST

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To: Tech Master who wrote (47)	7/18/2005 10:24:51 AM
From: VLD3	Read Replies (1) of 60

I don't think that he/she had considered the effects of multiple strike prices - it does appear simple when there is only one degree of freedom (i.e., one strike price to be concerned about). However, the problem becomes much more complex when arbitrage must be eliminated for four (plus) degrees - between the XPO strike prices for calls (and puts!), between the XPO calls and the XPO puts, between the XPOs (calls and puts) and the underlying, and between the XPOs (calls and puts) and the expiring options. If you go with the "straight-line" pricing advocated by W-L-D, you ALWAYS wind up with arbitrage simply from price movement in EITHER direction. I hope he/she is right - easy money. Any more information from the PHLX about when trading is scheduled to begin?

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