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Strategies & Market Trends : Classic TA Workplace -- Ignore unavailable to you. Want to Upgrade?

To: AllansAlias who wrote (5961)	6/28/2001 1:20:32 PM
From: Clappy	Read Replies (1) \| Respond to of 209892

I bought a few July QQQ Calls in anticipation of MSFT resuming trading later on. I'm figuring that they should pop instantaneously unless MSFT gets sold on the news... Much of the NDX is probably up already, due to this but I'm hoping MSFT opens a few points higher, automatically bumping the NDX up further. Just looking for a quick profit while prices relax during lunch... ...seems too easy though. I must be missing something...

To: AllansAlias who wrote (5961)	6/28/2001 3:02:18 PM
From: JRI	Respond to of 209892

Any ideas on a count here? Does this last "incident" put us firmly somewhere in the "C"?

To: AllansAlias who wrote (5961)	6/28/2001 5:30:32 PM
From: UnBelievable	Read Replies (1) \| Respond to of 209892

That Was The Most Fun Two Hours of Trading I Can Remember Having In Years. I think probably the most profitable two hours I have ever had as well. <gg> Give me that old time volatility! If we could get a wave count on volatility would be great. I'd know when not to bother trading. <ng> While the VIX and VXN are characterized as measures of volatility they are actually measures of perceived volatility. What I am interested in is predicting real statistical intra-day volatility rather than perceived volatility. I guess the first step would be coming up with the data points. Perhaps some statistical measures of intra-day price changes (standard deviation of the minute closes?) could be used. I have created an indicator of trader sentiment that seems like it is going to be very interesting. It is a real time readout of the ratio of the price of the 4 closest, out of the money puts and calls (using only the strikes that end in multiples of 25) for the SPX. The number is just the average of the last price for the 4 Puts divided by the average price of the four calls. I have only been using it for a week or so and have not started to log the indicator but I have noticed that it tends to range between .65 and 1.1. At the close of option trading today the number was 2.46. That means that options traders were very bearish, being willing to pay 2 1/2 times as much for the puts as they were for the calls. I dynamically determine which are the appropriate calls to use based on the price of the Index through out the day. This means that the value of the options are not really equivalent because the extent to which the four strikes are out of the money always varies. I am still thinking about the best way to correct for this. Since the SPX closed at 1226.2 the number was calculated using Puts with strikes of 1225, 1200, 1170, and 1150. The calls that were used were 1250, 1275, 1300, and 1325. So the Calls were more out of the money than the puts, which has an impact on the indicator. But even when you calculate the indicator using the puts with strikes at 1200, 1175, 1150, and 1125, strikes that are fairly symmetrical with the calls used, you get a value of 1.425 that is still extreme. Option buyers clearly think the market is much more likely to go down than up. I don’t know how reliable options trading are in predicting the market, but there may be information in the fact that almost all options expire worthless. <gg> The indicator was a little above 1 pretty much of the day yesterday, which was already more bearish than the .7 to .9 range which I have seen so far. I only have a week of experience with this so the sample size is small but it looks interesting.