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Strategies & Market Trends : MDA - Market Direction Analysis -- Ignore unavailable to you. Want to Upgrade?

To: Haim R. Branisteanu who wrote (24466)	9/2/1999 12:56:00 AM
From: John T.	Read Replies (2) \| Respond to of 99985

Haim, I checked the 20 largest stocks in the S&P 500 and it does not appear that implied volatility is low. On the contrary, implied volatility appears to be higher than average. Here are Implied Volatility (IV) figures expressed as percentiles for the 20 largest stocks in the S&P 500 Index. For example, an IV of 57 means that the current IV reading is higher than 57% of the past 6 years IV readings. The IV used for each stock is an overall average of implied volatility for all options on that particular stock. STOCK...IV (expressed as a percentile) MSFT....68 GE......62 INTC....71 IBM.....87 CSCO....33 WMT.....85 LU......57 XON.....64 MRK.....80 C.......81 T.......92 PFE.....88 KO......69 AIG.....83 BMY.....84 WCOM....56 JNJ.....78 RD......78 PG......68 DELL....18 Average IV of 20 stocks = 70.1 The OEX's IV (expressed as a percentile) is 88. This data is current as of August 27, 1999. I got the data from OptionVue5 software. optionvue.com Haim, I'm not trying to advocate a bullish or bearish scenario. I'm just presenting this data to you so that you can take it into account in your own calculations.