RE: Concept & calculation for "dispersion"

["M. Simms" <prosys@xxxxxxxxxxxxxxxx>]

Thanks for the feedback.
This sounds like a binomial distribution or a skewed dist curve or
something.....(my stats are foggy !).

Do I need to perform curve-fitting on the actual price distribution or do I
use the price deltas or
better yet, the price-relatives in percentage terms ?
There must be a statistical measure for this "skewness"....no ?

The issue is how to absolutely MEASURE dispersion....that is the trick.
Then it can be compared to volatility or implied volatility.
The ratio of the two is then an important indicator.
> -----Original Message-----
> From: Marlowe Cassetti [mailto:marlowec@xxxxxxx]
> Sent: Wednesday, January 19, 2000 12:50 AM
> To: M. Simms; Omega-List
> Subject: Re: Concept & calculation for "dispersion"
>
>
> 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.
> >
>