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yeah, Thats me.
-----Original Message-----
From: BobR [mailto:bobrabcd@xxxxxxxxxxxxx]
Sent: Thursday, March 15, 2001 10:26 AM
To: realtraders@xxxxxxxxxxxxxxx
Subject: Re: [RT] Mkt - OEX
Oh, you did tell great X wife jokes.
----- Original Message -----
From: "Jacobson, Alex" <AJacobson@xxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Thursday, March 15, 2001 7:19 AM
Subject: RE: [RT] Mkt - OEX
> I really did that. Gosh I'm funnier than I thought.
>
> -----Original Message-----
> From: BobR [mailto:bobrabcd@xxxxxxxxxxxxx]
> Sent: Thursday, March 15, 2001 10:10 AM
> To: realtraders@xxxxxxxxxxxxxxx
> Subject: Re: [RT] Mkt - OEX
>
>
> 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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> > >
> > >
> >
> >
> >
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> >
> >
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> >
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> >
>
>
>
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