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Technology Stocks : Ascend Communications (ASND) -- Ignore unavailable to you. Want to Upgrade?

To: Jack Colton who wrote (38332)3/8/1998 12:17:00 AM
From: Gary Korn  Respond to of 61433
 
Jack,

Thank you for your comments. I will try to add the open interest posts on a regular basis.

Jan, C_TV is indeed the theoretical call value as calculated by the Cox Ross Model (whatever that is) and CHR is indeed the hedge ratio (defined as the change in the price of the option for a 1 point change in the underlying price). For a put, the equivalent terms would be P_TV and PHR.

Gary Korn



To: Jack Colton who wrote (38332)3/8/1998 12:20:00 AM
From: Gary Korn  Read Replies (4) | Respond to of 61433
 
How about some historical ASND prices (I think this goes way,
way back if one wanted to cut and paste all evening):

ASND close high low vol(H) ASND close high low vol(H)
3/06/98 35.06 35.11 32.81 70961 2/04/98 31.25 31.75 30.38 83714
3/05/98 32.44 33.87 32.44 74702 2/03/98 30.81 31.00 29.62 58641
3/04/98 34.62 35.00 33.62 42070 2/02/98 30.12 30.50 29.50 66780
3/03/98 33.87 34.44 33.44 63824 1/30/98 29.56 29.87 28.75 42192
3/02/98 35.06 37.50 35.00 52381 1/29/98 29.00 30.38 28.75 42700
2/27/98 37.44 38.25 36.50 85558 1/28/98 29.87 30.06 28.06 54100
2/26/98 36.63 37.00 36.00 45545 1/27/98 28.00 28.44 27.75 34754
2/25/98 36.25 36.63 35.75 46128 1/26/98 28.00 29.00 27.94 32368
2/24/98 35.69 36.50 35.56 47216 1/23/98 28.69 29.00 28.56 32100
2/23/98 36.75 36.87 34.94 80749 1/22/98 28.44 29.37 28.44 56093
2/20/98 35.50 36.25 34.75 96934 1/21/98 29.81 30.50 29.44 111390
2/19/98 35.00 35.25 34.13 66371 1/20/98 30.75 31.00 30.06 83686
2/18/98 34.06 34.44 33.75 37796 1/16/98 30.06 30.50 29.75 101240
2/17/98 33.81 35.44 33.50 58094 1/15/98 28.94 29.94 28.81 49705
2/13/98 34.87 35.00 34.00 81451 1/14/98 30.19 30.31 28.62 72743
2/12/98 33.81 35.00 32.25 99207 1/13/98 28.62 29.25 28.25 111160
2/11/98 33.50 33.75 33.25 23562 1/12/98 26.94 27.00 25.00 58379
2/10/98 33.44 33.87 32.75 57828 1/09/98 26.19 28.00 25.81 65403
2/09/98 32.69 33.62 32.62 41960 1/08/98 27.37 28.19 26.94 44071
2/06/98 33.25 33.56 32.62 66092 1/07/98 27.56 28.50 25.94 136330
2/05/98 33.00 33.50 32.00 134890 1/06/98 26.06 26.50 25.56 47542
1/05/98 26.50 27.50 26.25 77913 12/03/97 23.62 24.00 22.00 60618
1/02/98 25.87 25.87 24.37 34596 12/02/97 23.75 25.31 23.69 39502
12/31/97 24.50 25.38 23.50 109650 12/01/97 25.56 25.75 24.86 33686
12/30/97 24.00 24.56 23.25 71816 11/28/97 24.94 25.00 24.31 10461
12/29/97 23.62 24.75 23.37 41001 11/26/97 24.44 24.87 24.25 25420
12/26/97 24.00 24.44 23.87 15149 11/25/97 24.25 25.12 24.13 38198
12/24/97 24.19 24.69 24.13 16588 11/24/97 24.75 25.38 24.50 31607
12/23/97 24.37 25.50 24.25 31272 11/21/97 25.38 25.75 25.12 32996
12/22/97 25.62 27.75 25.06 52939 11/20/97 25.56 25.75 25.00 38449
12/19/97 27.31 27.50 23.44 84879 11/19/97 25.38 25.94 24.13 44307
12/18/97 24.25 25.75 24.00 42063 11/18/97 24.56 25.81 24.50 45025
12/17/97 24.75 26.75 24.75 42199 11/17/97 25.44 26.00 24.31 52777
12/16/97 26.87 27.69 26.50 24925 11/14/97 24.37 25.00 23.75 38767
12/15/97 27.06 27.88 26.50 34686 11/13/97 24.37 25.00 23.12 70084
12/12/97 27.14 28.75 27.00 41379 11/12/97 23.69 25.12 22.75 73237
12/11/97 28.37 29.25 25.56 80749 11/11/97 23.19 23.50 22.69 42660
12/10/97 27.31 28.00 26.50 37092 11/10/97 22.62 24.75 22.62 48534
12/09/97 28.62 29.37 28.56 40426 11/07/97 24.13 24.31 23.50 63627
12/08/97 29.69 30.38 28.25 67222 11/06/97 24.81 26.37 24.50 54550
12/05/97 28.94 32.25 28.37 301460 11/05/97 26.00 26.50 25.31 57177
12/04/97 26.87 28.25 22.69 175110 11/04/97 25.31 26.75 24.69 92786
11/03/97 26.31 28.00 26.12 75867 10/03/97 32.69 33.75 32.44 59165
10/31/97 27.00 27.75 26.00 82161 10/02/97 33.00 33.25 32.56 38282
10/30/97 26.37 28.50 26.31 63823 10/01/97 33.00 33.50 32.00 95206
10/29/97 28.44 30.87 26.94 126870 9/30/97 32.37 32.44 30.00 337660
10/28/97 29.44 30.31 26.25 110610 9/29/97 35.25 36.28 35.00 71763
10/27/97 29.37 32.81 29.00 68370 9/26/97 36.25 37.94 35.87 88656
10/24/97 33.00 34.62 32.88 46817 9/25/97 37.12 37.75 36.63 83722
10/23/97 33.87 34.81 33.00 56528 9/24/97 36.56 38.75 36.37 82615
10/22/97 34.75 35.25 34.25 34813 9/23/97 38.12 38.69 37.62 78919
10/21/97 34.94 35.31 34.31 67021 9/22/97 37.94 37.94 36.00 115370
10/20/97 34.06 35.00 33.69 61677 9/19/97 36.00 36.00 34.75 96516
10/17/97 34.94 35.69 32.81 180080 9/18/97 35.94 36.12 34.87 108620
10/16/97 33.62 34.00 32.44 108120 9/17/97 34.75 35.38 34.25 197430
10/15/97 32.44 33.37 32.00 70010 9/16/97 33.69 34.62 32.25 266500
10/14/97 33.06 34.25 32.75 56793 9/15/97 32.56 35.62 32.06 337200
10/13/97 33.75 35.00 33.62 50170 9/12/97 35.25 38.00 35.00 209409
10/10/97 33.62 34.19 33.00 89772 9/11/97 37.81 38.75 36.87 276929
10/09/97 33.12 33.81 32.50 59717 9/10/97 40.00 41.75 39.62 238540
10/08/97 33.12 33.87 32.25 73734 9/09/97 42.56 42.75 39.94 133060
10/07/97 33.37 33.50 32.25 58704 9/08/97 40.19 41.75 40.06 59333
10/06/97 32.25 33.12 32.06 44319 9/05/97 40.62 42.25 40.25 108770



To: Jack Colton who wrote (38332)3/8/1998 12:26:00 AM
From: Gary Korn  Read Replies (2) | Respond to of 61433
 
ASND volatility (see chart below):

The top line lists monthly volatility values for the last 12
months. The next three lines list the high, low, and closing
price for the same 12 months. (It is apparent that the volatility
for ASND has declined quite a bit in 1998).

In addition to the monthly volatilities, 8 more volatilities
are shown in the line below the monthly prices.

The first 6 values (reading left to right) are historical values
of volatility. These historical values represent the following
time periods: 30 days, 90 days, 180 days, 365 days and for the
current year to date and for the current month to date.

The high and low prices for these period are shown below the
volatilities.

The last two volatility values are the implied and today's
volatilities. The implied volatility is derived from the
security's options. The value shown is a weighted average of
the individual options' implied volatilities.

Today's volatility is based on the price fluctuation of the stock
for today.

ASND mar apr may jun jul aug sep oct nov dec jan feb
vol 110 78 68 78 80 54 71 56 50 90 58 44

high 59.4 49.6 60 56.7 56:T 55.6 43.4 35:E 28 32.2 31 38.2
low 40'07s 36.1 44.5 38.2 39.6 40.2 30 26 22.5 22 24.3 29.4
close 40.6 45.6 55.6 39.3 54.3 42:7 32.3 27 24:F 24.4 29:9 37:7


1mo 3mo 6mo 12mo 1998 mar imp today shares out.(k): 189562
vol 58 63 65 73 56 101 49 49

high 38.2 38.2 42.6 60 38.2
low 32.2 23.2 22 22 24.3


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