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I recall there was a period where they did rollout even the week before for
a period of time...... It's kind of like the January effect .. sometimes Jan
effect gets pushed forward into Dec or even Nov........ I would guess
yesterday's activity was more "news" driven....... initially ....and I'm
sure part of it was opt related
----- Original Message -----
From: "Ira Tunik" <irat@xxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Thursday, October 18, 2001 11:18 AM
Subject: Re: [RT] Options as an Indicator
> this early exercise, rollover, or closing of positions prior to Friday
started to happen several years ago when the SEC called the CBOE and
> other options floors as well as large traders to task for the extreme
volatility that occurred on option expiration Fridays. The public
> appeared to be outraged. Or so the SEC stated. To avoid this the large
traders in options saw fit to close their positions early to avoid any
> punitive action by the SEC. That is my understanding of the situation.
After that the big volatility and volume day turned out to be
> Wednesday. At times it would end up being Tuesday and sometimes Thursday,
but most often Wednesday. If there is a reason for it being
> Wednesday, I don't know what it is .
>
> Ralph Volpe wrote:
>
> > I had heard recently that option positions are being closed out earlier
> > than the Friday of expiration so as to smooth out trading on that final
> > day. I also heard that the Wednesday before is usually the biggest
> > close-out day to unwind positions. I haven't studied this, but if
> > yesterday's action was due to unwinding option positions, could that not
> > be a signal for tomorrow's action? My guess is that Friday will track
> > Wednesday and the severety one way or the othere would depend on how
> > many positions still need to be closed out. What I'm basically asking
> > is, has anyone studied the relationship between Wednesday and Friday
> > prices when Friday was the close-out day?
> >
> > --
> > Ralph => E-mail => rjv@xxxxxxxxxx
> >
> >
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> >
> >
> >
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