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Strategies & Market Trends : John Pitera's Market Laboratory -- Ignore unavailable to you. Want to Upgrade?

To: Defrocked who wrote (1908)	5/31/2000 6:51:00 PM
From: Jack of All Trades	Read Replies (1) \| Respond to of 33421

I am not trying to trade any arbitrages off it, and I understand what you are trying to say. But, I really don't care if is correct only that it stays consistant. I have noticed that the bid price on oex calls is less MyTrack's "fv" then the market will trend lower. When the spread is biased the other way and the market trends higher like 1st qtr. I wish I had historical data that I could quantify but I don't.

To: Defrocked who wrote (1908)	6/1/2000 2:36:00 AM
From: Lee Lichterman III	Respond to of 33421

Saw your posts aboutthe pit guys not being able to be outdone and just wanted to pipe in and say, "never say never" <ggg> A few months ago the market was closed by "normal standards" at about 4:05 on expiration day when the OEX was at say 600 ( I don't recall the exact numbers) but the OEX 595 call was asking 2 3/8. Needless to say, the pit guy was asleep and didn't see the tick up after the 4 o'clock bell. I put in a limit order for 20 at the ask and was filled on 10 of them before they realized what was going on and raised the ask leaving me unfilled on the balance. They then tried to pull the trade but since I watched it cross the tape, I fought and won. I watched my acocunt balance bounce up close to 2600 bucks the next Monday on that "free" trade. You are right though in most circumstance, just wanted to pass on a "it happens" war story. <gg> As for determining Fair Value, it is a bit of a Black art. I use MetaStock for my charting and it has a add on "Option Scope" that will compute things out for you but it is kind of slow. Volatility is the constant unknown since momentum shifts can skew which way the biases are for puts versus calls. Of course the calls command more usually in uptrending markets and vice versa since the Black Scholes model is based on insurance type " what is the most likely scenario and what is the risk" question. Back to lurk mode, Good Luck, Lee