|
PureBytes Links
Trading Reference Links
|
In the past on several occasions the DROEX has stated that options are
priced off the futures. Would he mind elaborating on this a bit? Is he
referring to OEX options or SPX options or just sp futures options or all
three? Since he teaches and works for the CBOE the impression is he is
referring to OEX index options also, but no where in the popular options
valuations models is there a futures component. There is the time,
volatility, interest rates, strike, etc. Perhaps he is referring to pricing
from an intraday standpoint when the models don't work too well and take a
back seat to supply/demand or order flow factors. It would make an
interesting study, if someone on this list who can do correlation studies on
intraday data would take the OEX and its options and the snp futures and the
oex options and see how the correlations compare. In the end I shold think
that since the value of the option is linked to its underlying that the
Index correlation would win out over the futures correlation. However when
it comes to tracking these things intraday what is the sage advice?
Confucious say when confused ask a confusing question,
BobR
|