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ok... If that is your judgement based on your research and experience then
you will
stake your reputation on it. I know you have been in the options field for
a long time
and pretty much know how it works.
I am just thinking about MP, although the reportage technology has changed,
I know that just a transaction based
distribution of price is not exact mirror of an exact volume based
distribution. It is close..... :) but
a squatter normal curve based on transaction volume only on a given day is
much different than a
volume based curve, that might show more weight in the center of its normal
curve.
Don Thompson
----- Original Message -----
From: "Jacobson, Alex" <AJacobson@xxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Thursday, January 24, 2002 10:59 AM
Subject: RE: [RT] Option Sentiment Indicator
> It wasn't at all material.
>
> -----Original Message-----
> From: Don Thompson [mailto:detomps@xxxxxxxxxxx]
> Sent: Thursday, January 24, 2002 10:58 AM
> To: realtraders@xxxxxxxxxxxxxxx
> Subject: Re: [RT] Option Sentiment Indicator
>
>
> Alex,
> The key issue is ... "it really very Rarely Changes"
> you might know that, and other academics might know that, but
> when it does change then that is saying something...
> Don Thompson
> ----- Original Message -----
> From: "Jacobson, Alex" <AJacobson@xxxxxxxxxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Sent: Thursday, January 24, 2002 10:52 AM
> Subject: RE: [RT] Option Sentiment Indicator
>
>
> > In our studies if we volume weight it .. it really very rarely changes.
> > Having said that it still hasn't been decided.
> >
> > -----Original Message-----
> > From: Don Thompson [mailto:detomps@xxxxxxxxxxx]
> > Sent: Thursday, January 24, 2002 10:47 AM
> > To: realtraders@xxxxxxxxxxxxxxx
> > Subject: Re: [RT] Option Sentiment Indicator
> >
> >
> > Alex,
> > If you don't consider volume in the index. Don't even bother publishing
> the
> > index. You will just be misleading
> > alot of individuals. That might be ISE's intent, I don't know. I would
> just
> > as soon see ISE not publish it if they can't
> > be honest enough to publish the index with volume.
> >
> > Best Regards,
> >
> > Don Thompson
> > ----- Original Message -----
> > From: "Jacobson, Alex" <AJacobson@xxxxxxxxxxxxxx>
> > To: <realtraders@xxxxxxxxxxxxxxx>
> > Sent: Thursday, January 24, 2002 10:32 AM
> > Subject: [RT] Option Sentiment Indicator
> >
> >
> > > Hey list .. I'd like your input on a proposed new sentiment indicator.
> > >
> > > Here at the ISE all of our orderflow is electronic .... retail,
> > > institutional, professional ... it's all electronic. What we are
> thinking
> > > about doing is taking periodic snapshots (maybe every 10 seconds) of
> our
> > > completed orderflow. Orders to buy calls or sell puts would be
> considered
> > > bullish and orders to buy puts and sell calls would be considered
> bearish.
> > > The data may or may not be weighted by the size of the orders .. too
> early
> > > to tell. Some folks have suggested weighting the data based on most
> > active
> > > issues as well.
> > >
> > > In effect if in the 10 second window we completed 500 bullish orders
and
> > 400
> > > bearish orders the indicator would be 1.25 .... again scale issues are
> yet
> > > to be worked out. Zero numbers would a problem and we are working out
> > some
> > > thoughts on that. It has never occurred, but it is not impossible.
> > >
> > > In effect this would create a pseudo tiki type indicator based on
option
> > > orders completed ....... tiki has some advantages because of market
cap
> > > issues.
> > >
> > > I'd appreciate hearing your comments.
> > >
> > > Alex Jacobson
> > > Vice President Business Development
> > > I S E
> > > 212 897 8125
> > > 212 425 4926 (FAX)
> > > 877 7209918 (SKYPAGE)
> > > ajacobson@xxxxxxxxxxxxxx
> > >
> > >
> > >
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> > >
> > >
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> >
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