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To: Joseph G. who wrote (2254)12/23/1997 11:57:00 PM
From: John H.   of 2563
 
J+

Here's an interesting projection from McMillan. The last 3 days of expiry, the OEX changed from the preceeding friday the following amounts:

Wed: +5.86
Thur: -0.12
Fri: -4.11

M says taht if the largest change is positive, short the market, if the largest is negative, go long. Aside from the fact that he says the most losses from following tihs type of projection came in Dec., the formula pulled in profits tihs time (assuming an at-the-money bot Fri. didn't lose more than 2 pts since expiry, long the put). Sweet, if you went short the call at 455 (but I don't tihnk I could handle pacing the floor for 4 nights straight).

j intrigued
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