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<DIV>im attempting to start trading the minis,i wonder if the traders of this
instrument can guide me through the pitfalls and advantages of this beast</DIV>
<DIV>many thanks</DIV>
<DIV>arnon</DIV></BODY></HTML>
</x-html>From ???@??? Sun Jun 04 15:13:11 2000
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Date: Sat, 3 Jun 2000 22:51:03 -0400
Subject: [RT] Gen:Distribution Plots
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From: Ronald McEwan <rmac@xxxxxxxx>
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Status:
In "Option Volatility and Pricing Strategies" by Sheldon Natenberg, he
makes a couple of statements about distribution of price data
1.The percentage changes in a security's price are distributed normally
2. The dollar changes in a security's price are distributed log normally.
So I plotted the 20 day log normal distribution of prices on the Oex and
ten stocks in the Oex
I also plotted the 20 day normal distribution of percentage price changes
for the same securities. (lower right hand plot)
This is useful for estimating expected price ranges when trying to
determine which strike price to select for option trading. Most of the
percentage price change distribution is around 5% (with CSCO and INTC
over 10%). By this I think that over the next 20 days 5% swings in the
OEX and the underlying stocks would not be unexpected.
Ron McEwan
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