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In a message dated 97-07-17 00:34:53 EDT, wlm95@xxxxxxxxxx (Wayne Moody)
writes:
> OEX: 913.87
>
> July 915 Call: 3 1/2 last (3 1/8- 3 1/2)
>
> July 910 Put: 3 1/8 last (3- 3 1/8)
>
> There's no bias toward the calls. Perhaps a clue that somebody plans to
> dump a major basket of stocks tomorrow?
Could be, but another big reason is that the open interest has fallen sharply
this week. In the recent past, open interest has held until Thurs., implying
big exercises required Fri., or, more likely, Thurs. night, with strong
implications for the Fri. open. (These options expire before noon on Fri.)
The best guess is that most holders rolled to the next contract, i.e.,
continued their bets from July to Aug. If true, the market implications are
neutral, rather than the typically bullish option-expiration of the past
several months. So (finally he gets to the conclusion!), the premiums on
both puts and calls would be low, because there is such low open interest.
No one wants them. (Now if you were a contrarian ... )
Good luck.
Larry
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