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Strategies & Market Trends : The Options Box -- Ignore unavailable to you. Want to Upgrade?

To: Mark Z who wrote (379)5/16/2000 11:26:00 PM
From: jjs_ynot  Read Replies (1) | Respond to of 10876
 
Mark,

Although MM's/specialists try to stay delta-neutral, it is not entirely possible once time-decay starts to really kick in the last two weeks before expiration.

Also, hedge funds and large institutions are often not delta-neutral. This often provides the market forces to move a stock toward a parity price in the options.

I did a statistical study of this effect about a year ago. The most pronounced affect is when the underlying security is between 2 and 4 strike prices from the parity (Max Pain) value.

Regards,

Dave



To: Mark Z who wrote (379)5/17/2000 12:20:00 AM
From: Tim O.  Read Replies (1) | Respond to of 10876
 
Mark,

For the volatility contraction play, are you actually checking the real-time VIX or do you just go with your rule-of-thumb time periods?

Tim


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