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Monday, July 19, 2010

Options Data


Today's unusual options trading from whatstrading.com.


This month I am going to repeat last month's experiment in trying to "predict" cosing price at option expiration for several highly traded instruments. This month I have tried to stick to high priced per share, heavily traded instruments. The reason for using higher priced instruments is that movements of a point or so in the target price over the course of the month are far less significant than in a low priced instrument (such as XLF, which I used last month). I will go with heavily traded instruments because the one test I had last month that did not have heavy options trading (LYV) missed by a mile. The 5 I will use this month are SPY, DIA, GLD, AAPL, and GS. i retrieved the options data this morning and ill try to calculate price targets later tonight, and give the results tomorrow. I am ging to try to come up with a more rigorous method, as last month I didn;t take the project terribly seriously and came up with very rough calculations. However, I did have one direct hit (DIA at 101), and several of the others were close enough to warrant looking into this. So, I will be back tomorrow with the target prices.

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