Index Options Predict Market Price?

[Bob Fulks <bfulks@xxxxxxxxxxxx>]

Can you predict where the market will close on triple witching day?

>From the table of open interest on all OEX options (available at
http://www.cboe.com/) I calculated the total value of all of the OEX
options that expired today as a function of the closing price of the OEX
today.

The resulting values are given in the table below. (The value given is in
millions of dollars.)

   OEX     Value

   460      368
   465      307
   470      249
   475      200
   480      156
   485      121
   490       93
   495       79
   500       74
   505       87
   510      109
   515      142
   520      181
   525      228
   530      283
   535      345



A chart of the above values is attached.

It turns out that the total value reaches a clear minimum of $74 million at
an OEX value of 500. The OEX closed at 495 today.

Probably just a coincidence...

Bob Fulks


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