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Steve, Today (Monday) on Eurex someone traded DJ Euro Stoxx, 4000 Dec 07 puts at 259, 19% IV and 4000 Dec 07 calls at 287, 12.5% IV. Stoxx around 4140 at the time. Long/short, who knows. Attached is a Sheet with today's last trade implieds for DAX and STOXX. Ignore the Octobers -...

Steve, First, a correction. “theoretically mis-priced option” in my last post should be a mis-priced equivalent synthetic position. My knowledge of motor mechanics is zero. Therefore, my expectations for the performance of my car is based on what? Why won’t my car reach 120 mph or...

Tower, Thank you for the detailed reply. As a CME pro, may I ask for your comments on the following (my knowledge is restricted to the European indices DAX, STOXX, FTSE, CAC)? A recent discussion on ET concerns options and futures volume. Options volume on S&P and e-mini is relatively...

Tower, I have made a submission under the heading "Options volume" in the hope of drawing more discussion. This is based on your reply but raises questions you are qualified to answer - should you wish. Grant.

Riskarb, I think EUREX have learned from experience re expansion into the US markets and the loss of volume in their EURIBOR (?) contract to LIFFE. I can’t see any reason why EUREX shouldn’t introduce mini contracts – I’m sure there’s a demand if the US success is any indicator...

Tower, If possible, and from your perspective, could you provide a brief outline as to how Orc can improve trading; what features justify the high cost (makes you irresistable to women, adds a couple of inches to your height - and elsewhere, wake up with a cascading head of curly hair)...

“The shorter the time between hedges, the less variance from the expected result. Is this a correct interpretation?” If I understand this correctly, then logically if continually hedged there would be no variance; if no hedge, then considerable variance, possibly beyond that implied by...

Steve, Re the Natenberg reference. This is just a restatement of the theory underlying (unrealistic) assumptions of the basic Black-Scholes formula, eg zero or negligible costs and no bid-ask spread. “undervalued relative to the expected volatility” .The expected volatility is the...

DAX options volume, Friday: 120,000; DJ Euro Stoxx, 628,000; Grant.

MajorUrsa and Stoxtrader, Thank you for the references. I’ve done a basic check, and will examine thoroughly in due course. From all the brief, but invaluable, suggestions so far I am somewhat overwhelmed by material. However, if knowledge is strength… Stoxtrader, I appreciate...

Profitaker, That's excellent. Thank you, very much indeed. You are a Gentleman. Grant..

Using Excel and via iteration, to calculate implied I compare the market price with a theoretical price. When there is convergence, I have the implied. The method has room for improvement but I don't know how to set up the formula. Perhaps someone can help? Currently, I start with an...

“Jeff Wilson…tripled his investment”. So why is he (also) a high-pressure salesman? Excluding exceptions to the rule, which is preferable? If sales funds development, then the return from sales must be greater than his trading. Therefore, his trading must be simply a hobby – or a...

You too, Jango. Grant.

I am aware of most of the programmes which download data and build a database from a real-time feed into Excel. None support my vendor (VisualChart). Can someone supply me with such a programme, possibly in VBA (this is only a suggestion). Briefly, via a dde in Excel I want to record...

William, I wasn’t making a judgement as to which was correct – both exhibit knowledge of that with which I’m not familiar (that’s tortured prose, resulting from trying to be diplomatic, isn’t it?). However, the point you raised has certainly provoked thought, and I intend to...

Bernoulli, My (limited) understanding was RAID splits, and increases, the rate of read/write to/from the hard drive. Grant.

Boulder, I've looked at this and numerous others. Unfortunately, none are compatible with my feed (VisualCharts). And this is an ongoing problem for me. Thank you, anyway. Grant.

Bernoulli, You may have thought of these already. RAID 0; or manual (F9) calculation of Excel, possibly through a VBA timer, say every x seconds. Grant.