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Monday, September 6, 2010

New Options Targets

I have another week's worth of options data and a spreadsheet programmed to process it, although I'm still unsure of what exactly I am looking for. I have been testing the thesis that certain instruments (stocks and ETF's, in particular) can be "predictable" based on options trading in them; that is, the probability is that price at options expiration will be at or near the price which will cause the most open options to expire worthless. Previously I used only open interest in my calculations, and came up with targets that were fairly close, but not close enough to declare "success". This month I am trying to come up with a way to take into account the options values, but being mathematically challenged, it is taking me a while. Anyway, here is what i have come up with for September expiration:

AAPL -both methods yield a target price of 240.
DIA - The old method target is 101, the new method target is 103
GLD - The old method target is 118, new method is 112
GS - both methods yield a target of 145. This one has strike prices in $5 increments, so a close within $5 of the target can be considered a hit.
SPY - These options apparently don't expire until September 29. Right now the targets are 105 old method, 110 new method.

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