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To: Mike Sesan who wrote (2231)	7/11/1999 9:54:00 PM
From: Joseph Silent	Respond to of 10027

Mike Sesan..... You claim that the MMs are going to move price to around 60 because that is where the max (Call + Put) open interest is. You are correct in that this is the max open interest: 4040 cts. However, the strike 55 (Call + Put) open interest is: 3901 cts. A difference of 140 cts. Would it be worth it for the MMs to prefer strike 60 to strike 55? Seems this may just be peanuts to them. I think the story is more complicated (though not difficult). The number of contracts expiring worthless many not tell the story. One has to look at the potential cost expiring worthless. This can be done for July, under some assumptions on change in contracts this week. [Of course, I don't really know at this point how to account for the costs at which different contractors entered their contracts. The fascinating thing is that somebody has all this data!]. I'm also not sure about what effect the hedging folk have on all this. Perhaps that can be ignored --- just not sure. I have no handle on how the August contracts may confound the issue. I believe there are people who have studied this thing and can save other experimentalists a lot of time. It would be nice to get some of their experience here. :) Joseph