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Hello Dr.,
Sunday, November 28, 1999, 1:33:05 PM, you wrote:
DJC> Dear Gary,
DJC> If I construe your comments correctly,based upon history one would have only
DJC> a 1 in 10 chance of losing this bet.Most of my mechanical systems can not do
DJC> that well.And if you did not mind being long at that price and putting up
DJC> the money,I believe recovery is a given at some point
DJC> Sincerely,
The thing that Dennis study does not take into account is what a
experienced options seller knows. Intra expiration readings are only
useful to inexperienced sellers who want to jump out and take a loss
on the low. It's the job of the floor to flush out as many of those
seemingly safe strike prices prior to expiration as possible. But they
will come to reality by expiration day. So what matters to daddy deep
pockets is Expiration to Expiration. Otherwise Mr. DP shouldn't be
playing around with naked positions.
If you want to run a real study look at the stats of two weeks prior
to expiration only most likely you will find you can sell one extreme
or the other, and never revisit to other side of a strangle.
--
Best regards,
Mark Brown mailto:markbrown@xxxxxxxxxxxxx
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