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he most successful desk in the country trades an actual vol. using tick by
tick calculation against VIX. The perception is that the actual calculation
is a measure of very short term momentum. I saw it first done a year ago
and then I taught it and traded it. I first taught it at the San Francisco
money show. I couldn't do it in OEX, because then I prohibited from trading
OEX while at CBOE. So I just did it in big cap high volume issues. In
essence there appears to be a natural range of "the difference" between
current ATM implied and current ATM actual. The "values" or differences
seem to be different for every underlying, but they seem to have a fairly
regular pattern for every issue. In Sept. when I left CBOE I began doing it
in the OEX. It does not work as well in the OEX using VIX, because VIX
needs to be adjusted to an actual implied. So I abandoned it and just
calculated an ATM implied. Your absolutely correct that the proof is in the
trading .... I left a senior position at the CBOE so I had less trading
restrictions .... that way I can trade it more. CBOE employees couldn't
trade options ... so I had to trade the cash. Here I can trade everything.
-----Original Message-----
From: BobR [mailto:bobrabcd@xxxxxxxxxxxxx]
Sent: Thursday, March 15, 2001 9:49 AM
To: realtraders@xxxxxxxxxxxxxxx
Subject: Re: [RT] Mkt - OEX
Doc, would you mind explaining what you believe is the difference between
actual and historical. I believe a five day historical based on price
created from the last five days is about as actual as you can get. Proof is
in the profits.
bobr
----- Original Message -----
From: "Jacobson, Alex" <AJacobson@xxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Thursday, March 15, 2001 6:41 AM
Subject: RE: [RT] Mkt - OEX
> Historical and implied are IMHO an absolutely worthless indicator.
> Historical has taught us nothing. The trade is to understand actual and
> implied.
>
> -----Original Message-----
> From: BobR [mailto:bobrabcd@xxxxxxxxxxxxx]
> Sent: Thursday, March 15, 2001 8:45 AM
> To: realtraders@xxxxxxxxxxxxxxx
> Subject: [RT] Mkt - OEX
>
>
> Alex mentioned comparing implied and historical volatilities yesterday.
> Here is a shot of the 5 day historical. Note that when it peaks over 30
and
> implied(red line) is over 30 you have pretty good odds for a trading low.
>
> bobr
> http://www.oextrader.com/sigma_trader
>
>
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