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Thanks Doc, but where are the calcs ??
> -----Original Message-----
> From: The Doctor [mailto:droex@xxxxxxxxxxxx]
> Sent: Monday, January 17, 2000 4:24 PM
> To: M. Simms
> Cc: Omega-List
> Subject: Re: Concept & calculation for "dispersion"
>
>
> The concept that dispersion has prediction power has some
> validity. Carpenter's
> work, however is severely flawed. The comment that if all stocks
> went from 10
> to 11 would generate a condition of 10% vol. is absurd.
>
> Dispersion, when larger is the cash instrument, then in the
> implied of the cash,
> has seemed to lead to higher process lately. In effect when you
> measure a short
> term actual vol. and it exceeds implied things appear to go up ...... the
> concern is everyone I know who has studied, observed, or traded this
> relationship .... has done so lately when many many things are
> going up. I
> suspect that this condition is demonstrating a "fat tailed"
> distribution ...
> other suspect it may be a momentum measure and others a money
> flow measure.
>
> It tends to work pretty well and I use it to trade big cap nasdaq
> stocks ....
> here is the problem. I first saw it in practice in late 1999.
> It may merely be
> simply a good environment to trade big cap nasdaq. When it
> inverts I use it as
> a sell signal .... and again it has worked well (baring vol. noise such as
> earnings .... which create a natural increase in implied). I
> would strongly
> suggest you test it yourself.
>
> "M. Simms" wrote:
>
> > For all of you options people.....
> > the recent "Striking Price" article in Barrons mentioned the concept of
> > dispersion which is
> > supposed to be different than volatility.
> >
> > A guy named Carpenter indicates that dispersion has prediction
> power....when
> > used along with VIX.
> >
> > Has anyone seen this in practice ?
> >
> > How can dispersion be calculated ? It seems to be a sort of directional
> > volatility....
> > if all components are girating in the same direction, then dispersion =
> > zero, but volatility could still be high.
> > Dispersion would be greatest when half the components are going
> up and half
> > are going down....
> >
> > interesting.
>
>
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