Index Options that will expire worthless in Aug07 -- POST here !

W

WD40

Some say 90 % of the open interest will expire worthless.

Whether it is 10% or 90%, it has been debated in another thread.

Today we are interested to see which strikes you think will expire worthless, and how did you come to that calculation.
 
I use the ODDS probability cone in Metastock, set to two standard deviations of 20 day volatility. What do you use?
 
I don't see the point either, but what the heck...

SPX - below 1485 & above 1580
NDX - below 1950 & above 2125
RUT - below 790 & above 880

As to how I got these...sorry, it's a proprietary calculation.:)
 
my take:

NDX

closed yestereday at 2036

I use a 10% projection, my condor strikes will be:

2265
2240
1850
1825
 
Quote from MTE:

I don't see the point either, but what the heck...

SPX - below 1485 & above 1580
NDX - below 1950 & above 2125
RUT - below 790 & above 880

As to how I got these...sorry, it's a proprietary calculation.:)
More...

mte... if i had your proprietary calculator; i would be all set. if you have a change of heart, keep me in mind:)
 
I'm gonna go out on a limb here.

SPX 1150 puts will expire worthless
as will NDX 1350 puts

Oh what the heck... while I'm at it, I will also say that SPX 1725 calls will expire worthless too.
 
Quote from MTE:

I don't see the point either, but what the heck...

SPX - below 1485 & above 1580
NDX - below 1950 & above 2125
RUT - below 790 & above 880

As to how I got these...sorry, it's a proprietary calculation.:)
More...

Better watch the RUT 790s. Only 20 Points OTM here. RUT breaks 800 (not likely but high vol usually leads to higher vol) theres a free fall every 20 points.
 
Quote from jj90:

Better watch the RUT 790s. Only 20 Points OTM here. RUT breaks 800 (not likely but high vol usually leads to higher vol) theres a free fall every 20 points.
More...

As long as it expires OTM...:)
 
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