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If you were selling options for premiums you might look at
something like the attached.
You can also use this as an indicator of the probability of
direction of price movement whenever prices move out
of the "anticipated" zone of prices.
This fires off at expiration and expects prices to return to
the same price the next expiration but allows some
latitude along the way.
Clyde
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Clyde Lee Chairman/CEO (Home of SwingMachine)
SYTECH Corporation email: <clydelee@xxxxxxx>
7910 Westglen, Suite 105 Work: (713) 783-9540
Houston, TX 77063 Fax: (713) 783-1092
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----- Original Message -----
From: "BobR" <bobrabcd@xxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Friday, March 10, 2000 19:48
Subject: [RT] GEN - expiration
> A trader sees the strangest things on the way to expiration. This
little
> beasty indicator tries to zero in on the OEX as expiration approaches
using
> a combination of historical data and implied volatility and time
decay.
> Either the red line or the green line will zero in on that Friday
close. At
> this point with 5 days to go my inclination is to vote for 780 only
because
> Clyde voted for the redline at 700 with his swing technique.
>
> BR
>
>
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