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Volatility may have had very little to do with your call experience this
morning. Friday close had the OEX P/C volume ratio above Kurt's buy the
open on Monday rule. Friday pulled up on the close per the Larry Williams
pre E week trade. However, MM's are not oblivious to the fact that there
was going to be a pop on the open. If they even have a hint of mkt
direction they will hold the premiums accordingly until the movement has
ceased. During options expiration week the first and last fifteen
minutes(sometimes as long as 30 minutes) of each day option premiums do not
follow any BS, better make that clear Black Scholes, rules. They follow
the street or pit rules or auction market rules of supply and demand
expectations.
BobR
At 03:26 PM 10/13/97 EDT, Mr. Troy Kelley wrote:
>What a tough game this is.
>
>I went long this morning on an OEX call and lost about 200 buck
>
>Then I went short on a put, caught 2 oex points, and only made 20 bucks.
>
>Slippage and commisions are the curse of us all!
>
>BTW, I need to make sure that my OEX options have a delta of at least 1,
>that was the problem today. 2 points on the OEX translated to 1 on the option
>which was not enough for slippage and commisions. How do I make sure my
>deltas are 1? Black Sholes? I can never figure out the volitility part...
>
>Troy
>
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