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THE OCR collects the data every month and publishes it annually. The stats. are
virtually identical month in and month out.
10% of options are exercised and this number would be closer to 55% if
transaction cost were zero.
60% are closed prior to expiration
30% expire.
This data tells you nothing about profitability. The data only relates to
customer accounts not market maker .... there is no collection of open/close
data from market makers. The OCC clears every securities option trade in the
country so this data reflects both equities and indices.
The 90% number you often hear talked about comes from a quote made, as best as I
can tell, from an article written in late 1970's which quoted a figure of 90% of
options go unexercised. That figures somehow seems to have become distorted to
where it is now quoted as 90% expire. On expiration Friday (or Thursday for
some index options) the most likely outcome is that most of the volume will
normally be rolled forward.
John Manasco wrote:
> snip snip
>
> > I like using credit trades because statistically, most
> > options expire worthless (excluding the large number which are closed out
> before
> > expiration
>
> Where do people get this statistic? Larry McMillan who writes the Option
> Strategist newsletter did a study of this. He found that over a period of
> three months 69% of the open contracts expired in the money which he defined
> as having a value of 5/8 or more. Has anyone actually seen any studies that
> confirm that "statistically most options expire worthless"? I'd like to see
> that study.
>
> John
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