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Strategies & Market Trends : Options 201: Beyond Obi-Wan-Kenobe -- Ignore unavailable to you. Want to Upgrade?

To: Dominick who wrote (776)	2/24/2003 6:00:33 PM
From: tyc:>	Respond to of 1064

Thanks for your reply, Dominick. I'll get back to you later tonight. Right now I'm working on the other tack... Dan's Historic Volatility. I have confirmed that the method he outlined .... doing a statistical study of percentages...does indeed produce a 50% volatility figure for the same 50 day period. Now I must try to understand what it means. See my following message to Dan.

To: Dominick who wrote (776)	2/24/2003 7:50:34 PM
From: tyc:>	Respond to of 1064

Hi Dominick, I used a May input just because it produced a term approximating the 50-day term of the bollinger bands. I wanted to prove again that my simple method did indeed produce a volatility input figure that produces a range of expected prices coinciding with actual recent trading. (Don't forget about my earlier posting taking back what I had said about fair value and saying that fair value is more likely to be closer to IV figures than what recent closing prices produce). As to when to make the move; my strategy is, once made, hold a position through expiry, renewing it with the equivalent after expiry. However, I rolled AGE Mar24 calls to september today, just simply to take advantage of high IV which I don't think will last. So you see, I'm sure your judgment is at least as good as mine !