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I am sure you don't remember me, but after several years of attending your
Money Show seminars you walked to the back of the room of several hundred
people and asked me what the hell I was doing there and hadn't I attended
enough of your presentations...good memory you got Alex...we had never
spoken to each other before. I missed your presentation on the tick by tick
volatility. Is it so obvious or is it ok to ask you to give the rters a
description of how you calculate it?
thanks,
bobr
----- Original Message -----
From: "Jacobson, Alex" <AJacobson@xxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Thursday, March 15, 2001 6:53 AM
Subject: RE: [RT] Mkt - OEX
> 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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> >
> >
> >
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> >
> >
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> >
>
>
>
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