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On Nov 28, 3:18pm, Mark Brown wrote:
> I'll take that trade! I like it. I have an old study I haven't kept it
> up but here it is. http://24.7.24.185:5083/bands2.htm What do you
> think the largest move has been option expiration to option
> expiration? Up or Down? It's up 15% and down has only been 9%.
Good point, but John is looking at March options, which are about
3.5 options expirations away. On average, the worst case, using
your numbers above would be sqrt(3.5) * -9% .. 15%, or roughly
-16% to +28%. The actual figures for a 75 trading day hold
(without regard to expiration) are slightly higher than that
for the years 1990-99. The largest 75 day close-to-close downside
was -17.8% set in 9/28/1990 and +29.6% set in 1/28/99.
I think the wildcard is Y2K. Selling March puts is basically betting
that Y2K will be non-event, which is not necessarily a bad bet.
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