Help with OEX trading for Master's Thesis Message Board

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Strategies & Market Trends : Help with OEX trading for Master's Thesis

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To: NateC who wrote (10)	3/12/1999 5:10:00 PM
From: James Lumley	of 13

Nate, To follow up on my last post, I usually don't hold OEX options overnight as opening next day could erase any profits. I will point out that even over the course of a few hours the 'volatility' can affect an option's price. For example, if I buy a call option at 10:30 and sell at 12:30, and during that two hour period the volatility decreases (as it normally will when market is rising) it will depress the value of what I gain in the option. By contrast, if I buy a put when the market is falling, the volatility generally rises and the value of my option expands more than it would on normal price movement alone. Hope this is helpful. I'm sure you probably know it already. it's one of those occurances when theory (black-Scholes formula) and reality collide. Jim

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