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Strategies & Market Trends : Trading the SPOOs with Patrick Slevin! -- Ignore unavailable to you. Want to Upgrade?

To: scotty who wrote (5691)	6/29/2000 11:58:00 AM
From: Patrick Slevin	Read Replies (2) \| Respond to of 7434

Yes, and no. I used to. I took a seminar with Larry McMillan back around 1994. He espoused O.I. on the OEX as a trading tool for Expiration Week. He was very accurate with it; I had a fax service with him since around the day he started it until perhaps a year ago. It wasn't of much use to me as the years went on because it was stock oriented and I was less and less so. But Expiration Week he must have had a great track record on SP and/or OEX because he watched O.I. very closely going into that week. Because during the week of Expiration there is a lot of rollovers and/or exercises he would keep tabs on it each morning upon the release of O.I. out of the CBOE. I don't know that it was so much the same as the manner that you look at it. I think he tried to determine "where" the OEX would have to be to create an acceleration by professional arbs to drive the market one way or the other. Say for example the OEX has so much Open Call Interest and the weighted average was about the 800 strike. The Open Put Interest was so much and the weighted average was the 775 strike. Well, his hypothesis was that, from Tuesday out, if the OEX was above 800 (or below 775) during the last hour of trading the arbs would drive (or attempt to drive) the market further in that direction. It was an interesting theory and I'll tell ya, it worked a heck of a lot. I never kept stats on it but (when the market was trading outside the range in the last hour) I cannot recall it failing more than once or twice in the roughly 5 years or so I was using the service. I never tried to duplicate it because it was a hassle to keep track of. I see those people on the links you provide must use Tradestation, probably TS 4.0; the analysis at the bottom looks identical to a Tradestation output. Now that you have mentioned it, however, I imagine I could try it on my software and try to backtest it. Thanks for the idea. I'm having a little trouble backtesting and developing systems on TS 4000i, but if I can come up with something that works okay I'll let you know.

To: scotty who wrote (5691)	6/29/2000 12:02:00 PM
From: Patrick Slevin	Respond to of 7434

Here is an interesting story on OEX Manipulation that you reminded me of, by the way. programtrading.com

To: scotty who wrote (5691)	6/29/2000 1:08:00 PM
From: Patrick Slevin	Read Replies (1) \| Respond to of 7434

On that Histogram on the bottom, over here futures.tradingcharts.com I would imagine that's the O.I. each day. So, what is the line then? A running average of some sort? Oh, wait. The histogram is the Volume and the line is the O.I.; okay. Also that's a continuous Chart; something I did not notice at first. I had in mind when I first read your post that you were speaking of Future or Index Option O.I., not Contract O.I.; I have not looked at it like this, because I usually wait for the COT every two weeks. I did not even know I could plot this, this easily. I see it is by Omega, by the way. Just using SuperCharts instead of Tradestation.