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A question for experienced options traders.
<P><B>What is the minimum volume that you think should be required before
trading a futures option contract ?</B>
<P>Following is a list of options which traded since 290699 and had volume
> 250.
<P>Data is as at close for 300699.
<P>Last column is the date of the last trade.
<P>Chris Jackson
<P>Code - price- volume - last traded
<P>BO00HC20000 500 800 990630
<BR>BO99ZP18000 1550 1000 990630
<BR>C99UC2200 87 885 990630
<BR>C99UC2300 60 1485 990630
<BR>C99UC2400 40 1135 990630
<BR>C99UC2500 31 666 990630
<BR>C99UC2600 22 1585 990630
<BR>C99UC2700 14 530 990630
<BR>C99UP2000 26 412 990630
<BR>C99UP2100 66 743 990630
<BR>C99ZC1200 84 334 990630
<BR>C99ZC1700 562 300 990630
<BR>C99ZC2300 124 697 990630
<BR>C99ZC2400 92 474 990630
<BR>C99ZC2500 70 327 990630
<BR>C99ZC2600 51 341 990630
<BR>C99ZC2800 30 426 990630
<BR>C99ZC3000 17 274 990630
<BR>C99ZP2000 34 454 990630
<BR>C99ZP2100 66 708 990630
<BR>C99ZP2200 110 525 990630
<BR>C99ZP2300 162 297 990630
<BR>CL99QC1750 182 555 990630
<BR>CL99QC1800 136 1225 990630
<BR>CL99QC1850 93 2086 990630
<BR>CL99QC1900 58 2694 990630
<BR>CL99QC1950 33 1236 990630
<BR>CL99QC2000 16 776 990630
<BR>CL99QP1600 1 301 990630
<BR>CL99QP1650 1 381 990630
<BR>CL99QP1700 2 1196 990630
<BR>CL99QP1750 3 598 990630
<BR>CL99QP1800 7 1744 990630
<BR>CL99QP2050 128 350 990630
<BR>CL99UC1800 159 265 990630
<BR>CL99UC1850 124 1437 990630
<BR>CL99UC1950 70 721 990630
<BR>CL99UC2000 48 700 990630
<BR>CL99UC2050 35 500 990630
<BR>CL99UC2200 11 1000 990629
<BR>CL99UP1600 5 306 990630
<BR>CL99UP1750 21 362 990630
<BR>CL99UP1800 30 414 990630
<BR>CL99UP1850 44 1000 990630
<BR>CL99VC2000 70 375 990630
<BR>CT99ZC5400 311 262 990630
<BR>FV99QC10850 52 500 990630
<BR>FV99UC11200 3 600 990630
<BR>FV99UP10900 45 500 990630
<BR>GC00GC30000 150 1137 990630
<BR>GC00MC31000 190 2062 990630
<BR>GC99QC26500 220 1166 990630
<BR>GC99QC27000 90 354 990630
<BR>GC99QC27500 50 315 990630
<BR>HU99XP4600 65 400 990630
<BR>KC99QC10000 245 315 990630
<BR>KC99QP10000 60 257 990630
<BR>KC99UC10000 669 344 990630
<BR>KC99UC12500 300 281 990630
<BR>KC99UC15000 170 372 990630
<BR>KC99UP10000 530 582 990630
<BR>KC99UP9500 250 646 990630
<BR>KC99ZC12000 600 375 990630
<BR>LH99NC50000 100 283 990629
<BR>NG99QC2300 153 285 990630
<BR>NG99QC2400 98 474 990630
<BR>NG99QC2500 59 877 990630
<BR>NG99QC2600 34 864 990630
<BR>NG99QC2750 15 1153 990629
<BR>NG99QP2000 6 1325 990629
<BR>NG99QP2100 13 550 990630
<BR>NG99QP2200 29 1047 990629
<BR>NG99QP2350 78 344 990630
<BR>NG99QP2400 102 1079 990630
<BR>NG99UC2400 155 540 990630
<BR>NG99UC2500 113 402 990629
<BR>NG99UC2600 77 1320 990629
<BR>NG99XC3500 40 525 990630
<BR>S00FC5250 120 426 990630
<BR>S99QC4500 130 927 990630
<BR>S99QC4750 54 2144 990630
<BR>S99QC5000 25 1378 990630
<BR>S99QC5250 11 615 990630
<BR>S99QC6000 2 502 990630
<BR>S99QC6500 2 500 990630
<BR>S99QP4250 26 660 990630
<BR>S99QP4500 130 1443 990630
<BR>S99QP7000 2494 365 990630
<BR>S99QP8000 3494 400 990630
<BR>S99UC5000 70 733 990630
<BR>S99UC6000 15 406 990630
<BR>S99UC7000 6 315 990630
<BR>S99XC3250 1356 421 990630
<BR>S99XC4500 296 865 990630
<BR>S99XC4750 194 870 990630
<BR>S99XC5000 130 1621 990630
<BR>S99XC5250 90 1087 990630
<BR>S99XC5500 60 300 990630
<BR>S99XC6000 34 345 990630
<BR>S99XP4250 87 1810 990630
<BR>S99XP4500 186 722 990630
<BR>S99XP5000 514 809 990630
<BR>S99XP5250 720 830 990630
<BR>S99XP9000 4394 567 990630
<BR>SB00HC650 74 343 990630
<BR>SB00HC700 58 315 990630
<BR>SB00HP450 12 414 990630
<BR>SB00HP550 32 278 990630
<BR>SB99VC600 71 1188 990630
<BR>SB99VC650 48 400 990630
<BR>SB99VC700 33 2587 990630
<BR>SB99VC750 22 575 990630
<BR>SB99VC900 6 266 990630
<BR>SB99VP500 15 440 990630
<BR>SB99VP550 28 525 990630
<BR>SI99UC5500 95 271 990630
<BR>SM99VC13500 500 706 990630
<BR>SP99NC135000 4170 263 990630
<BR>SP99NC138000 2100 357 990630
<BR>SP99NC142500 380 535 990630
<BR>SP99NP130000 360 371 990630
<BR>SP99NP132000 540 401 990630
<BR>SP99QP115000 310 357 990630
<BR>SP99QP120000 540 502 990630
<BR>SP99QP130000 1530 353 990630
<BR>SP99UC135500 6730 770 990630
<BR>TY99QC11000 130 1109 990630
<BR>TY99QC11100 52 2351 990630
<BR>TY99QC11200 23 3006 990630
<BR>TY99QC11300 9 501 990630
<BR>TY99QC11400 3 1600 990629
<BR>TY99QP10800 4 443 990630
<BR>TY99QP10900 9 876 990630
<BR>TY99QP11000 18 1091 990630
<BR>TY99UC11100 107 1497 990630
<BR>TY99UC11200 41 5685 990630
<BR>TY99UC11300 22 401 990630
<BR>TY99UC11400 12 3270 990630
<BR>TY99UC11700 1 500 990630
<BR>TY99UP10800 11 5875 990630
<BR>TY99UP10900 20 1639 990630
<BR>TY99UP11000 35 14123 990630
<BR>TY99UP11300 209 4027 990629
<BR>TY99UP11500 357 1500 990630
<BR>TY99ZP10900 62 700 990630
<BR>US99QC11400 219 3987 990630
<BR>US99QC11500 136 5972 990630
<BR>US99QC11600 63 12053 990630
<BR>US99QC11700 37 4455 990630
<BR>US99QC11800 19 2671 990630
<BR>US99QC11900 9 547 990630
<BR>US99QC12000 4 433 990630
<BR>US99QC12200 1 400 990630
<BR>US99QP11000 3 635 990630
<BR>US99QP11100 4 1112 990630
<BR>US99QP11200 7 3861 990630
<BR>US99QP11300 14 6205 990630
<BR>US99QP11400 25 2098 990630
<BR>US99QP11500 42 2138 990630
<BR>US99UC11400 241 2043 990630
<BR>US99UC11600 129 9773 990630
<BR>US99UC11800 43 5210 990630
<BR>US99UC12000 18 2567 990630
<BR>US99UC12200 7 1011 990630
<BR>US99UC12400 2 1234 990630
<BR>US99UC12600 1 415 990629
<BR>US99UP10600 2 1451 990630
<BR>US99UP10800 5 8051 990630
<BR>US99UP11000 10 8489 990630
<BR>US99UP11200 22 2998 990630
<BR>US99UP11400 48 2349 990630
<BR>US99UP11600 135 4322 990630
<BR>US99UP11800 248 1974 990630
<BR>US99UP12000 422 1150 990629
<BR>US99UP12200 610 584 990629
<BR>US99ZC11400 314 783 990630
<BR>US99ZC11600 211 445 990630
<BR>US99ZC12000 55 1435 990630
<BR>US99ZP10200 9 15540 990630
<BR>US99ZP10600 19 292 990630
<BR>US99ZP11200 112 1652 990630
<BR>US99ZP11400 154 795 990630
<BR>W99UC2700 92 340 990630
<BR>W99UC2800 60 1694 990630
<BR>W99UC2900 40 349 990630
<BR>XS99QC4750 54 1100 990630
<BR> </HTML>
</x-html>From ???@??? Sat Jul 03 00:25:59 1999
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Message-ID: <377DAB1E.93A50E78@xxxxxxxxxxxx>
Date: Sat, 03 Jul 1999 01:18:06 -0500
From: THE DOCTOR <droex@xxxxxxxxxxxx>
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To: John Cappello <jvc689@xxxxxxx>
CC: Realtraders@xxxxxxxxxxxx
Subject: Re: VIX Correlation
References: <199907022307.TAA13565@xxxxxxxxxxx>
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Status:
John,
1. Vix never reached 172.79 in 1987. The highest simulated value was in
the 150's ..... also the 1987 low was below the level on level on 07/17.
Also each of those events, in hindsight, was a huge buying opportunity.
The 60% level reached in 98 was the "Niederhoffer" morning and was an
intraday number resulting from a number of issues ... one was the market
close occurring the day before. 60% intraday was hit a couple of times in
1998. If you look at all the VIX data you discover that many large moves
occur off of low volatility .... direction has been both up and down.
Another concern I would have, especially using the simulated data from 87
... is that the order flow was not really robust enough to calculate a
true VIX. If you could have actually sampled the data from the traded ATM
you would have calculated a number closer to 300%. The problem with
volatilities over say 85% to 100% is that they aren't real. The implied
number can be calculated from the option prices, but vols. that high
really tend to indicate more a market in distress or chaos rather than a
real expectation of price distribution.
However having said all of that ,,,, almost every time VIX has hit a low
.....god bless hindsight .... straddle and combo purchases have been very
very profitable very soon thereafter. The question is ... is the current
level the low?
John Cappello wrote:
> To List:
>
> Someone I highly respect shared this information:
>
> "Today the VIX closed at 18.85. This is a low for the year and is very
> near the 16.73 level reached 7/20/98 and the 16.25 reach on 7/17/87.
> By contrast the major lows in the market have been accompanied by
> readings of 60.63 on 10/08/98 , 51.94 on 9/11/98 , and 172.79 on
> 10/20/87."
>
> Interesting to me and hopefully to you.
>
> John
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