Donald; RE: Speculation on Affect of Op.Exp. on Indices...
...excerpt from Briefing.Com
"Traders said the main highlight of the current expiration
cycle is that a large number of November out-of-the-money put
options remain open.
Jerry Hegarty, an options analyst at Thomson Financial
Services, said most of the puts were bought in late October
when the market fell sharply, and now that the market has
recovered much of those losses, the put writers, or sellers,
"are making a windfall."
Several out-of-the-money puts had more than 10,000
contracts open through Monday. The November 800 put was the
highest, at 21,634. The 760 put had open interest of 19,686.
Lawrence McMillan, head of McMillan Analysis Corp, said in
a report that the market's rally had driven indexes high enough
to "effectively" neutralize any arbitrage effect on expiration.
But as of now, he said, if the OEX is below 875 on
expiration, sell programs are possible at the close. If it is
above 910, buy programs are possible."
-Steve |
