[RT] Gen: Old Economy - New Economy

[Ronald McEwan <rmac@xxxxxxxx>]

I was working on a regression analysis of the OEX and COMP Index. I
noticed that if you plot the residuals of the analysis, you come up with
a pretty good indicator what market was performing better(or not falling
as fast as the other). This might be the basis of an arbitrage play on
OEX and NDX options?

If the residual plot is positive the OEX generally performed better
If the residual plot is negative the COMP generally performed better.
When it is at or close to zero, it does seem to matter. They are both
highly correlated.

Ron McEwan
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