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let me take a crack at this since I was involved in "dispersion analysis"
during the Apollo Program.
Assume you construct a Monte Carlo dispersion analysis or simulation of
options pricing and you crank it for 10,000 trials. As inputs you randomly
sample past price data. Your results could be plotted in a frequency
histogram which could be very different from the standard bell shaped
distribution. This type could give you an insight into a better
description of options pricing based on past price dispersion of the
underlying security.
Just a guess ... Hope it helps ... Marlowe
----- Original Message -----
From: M. Simms <prosys@xxxxxxxxxxxxxxxx>
To: Omega-List <omega-list@xxxxxxxxxx>
Sent: Monday, January 17, 2000 11:41 AM
Subject: Concept & calculation for "dispersion"
> 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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