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Strategies & Market Trends : Waiting for the big Kahuna

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To: William H Huebl who wrote (26739)9/7/1998 9:04:00 AM
From: Joseph G.  Read Replies (3) of 94695
 
DESCRIPTION LAST BID ASK CHG HIGH LOW VOL OI SYM
------------- ------- ------- ------- ------ ------- ------- ------ ----- -----

C SEP98 470.0 19 18 3/4 20 1/4 -4 25 1/2 15 2278 1145 OEXIN
C SEP98 475.0 16 1/2 16 1/2 16 3/4 -3 19 7/8 12 1098 2119 OEXIO
C SEP98 480.0 13 1/4 13 1/4 13 3/4 -3 1/4 18 1/2 9 3/4 3373 7810 OEXIP

P SEP98 475.0 13 13 13 1/2 +1/4 19 9 3/4 3982 5448 OEXUO
P SEP98 480.0 14 1/2 14 1/2 15 +1/2 21 1/2 11 1/4 7674 11997 OEXUP
P SEP98 485.0 17 16 1/2 16 7/8 0 24 13 2188 3562 OEXUQ

OEX cash = 477.5
Call 480 @13.5 and Put 475 @ 13.25
Call 475 @16.5 and Put 480 @ 14.75
Call 470 @19.5 and Put 485 @ 16.75

Note: there is a theoretical asymmetry in call/put pricing, but is is
non-negligible only for deep OOM long-time contracts.
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