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

To: Matthew L. Jones who wrote (24492)	9/2/1999 9:06:00 AM
From: Haim R. Branisteanu	Respond to of 99985

Thanks Matt you explained my point. This morning we see the result of the odd CBOE statistics. IMHO it is an inside job. Will see if any investigation will ensue. biz.yahoo.com and Sears announcement. Haim

To: Matthew L. Jones who wrote (24492)	9/2/1999 6:55:00 PM
From: John T.	Respond to of 99985

Matt, in my message last night I was making the point that in general, on an historical basis, current implied volatility is above average. I believe that the table set forth in my message was confusing, so let me further explain. Here's part of last nights message: 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 Let's take MSFT to explain the table. Lets assume that at the present time, the average implied volatility of all MSFT options is 35.2%. During the last six years the implied volatility on MSFT options has been as high as 59.2% and as low as 24.4%. Therefore, if the implied volatility of MSFT options is now 35.2%, then the present implied volatility is higher that 68% of the past 6 years implied volatility readings. I think that what Haim was saying last night is that regardless of whether implied volatility is high or low on an historical basis, under the present circumstances (interest rate fears, falling dollar, possible asset bubble, etc.) implied volatility is low.