Monday, July 21, 2008

Strike Pegger

There is a Wall Street axiom that says "90% of all the options that are bought and held to expiration will expire worthless". The Strike Pegger computes the stock price where the sum of the amount to be paid by all call and put writers is the smallest. This computed price changes as the ratio of open interest for calls and puts changes.

The Max Pain effect is the tendency for a stock’s price to gravitate towards this number as we approach the expiration date. Options officially expire the day after the third Friday of the month. Apple (AAPL) July 2008 options expired on July 18 after the closing bell. The calculated Max Pain value for AAPL is 160.



Update: AAPL closed at 165.15 on July 18.

Note: The strike pegger is more accurate for most major indexes and stocks which have large option volume, relatively low float, and have not experienced a significant and abrupt price move. The Volatility Skew, the Put/Call Ratio, and the Strike Peg should all be evaluated. Correct interpretation of the Volatility Skew is most valuable, since it effects the accuracy of the Put/Call Ratio and the Strike Peg.

Ref: http://www.optionistics.com/i/strike_pegger

18 comments:

Anonymous said...

That is very nice idea.


student credit cards

Anonymous said...

Considering the fact that it could be more accurate in giving informations.

Anonymous said...

Howdy,

I mostly visits this website[url=http://www.weightrapidloss.com/lose-10-pounds-in-2-weeks-quick-weight-loss-tips].[/url]Plenty of useful information on ecmtang.blogspot.com. Do you pay attention towards your health?. Here is a fact for you. Recent Research points that nearly 80% of all USA adults are either chubby or weighty[url=http://www.weightrapidloss.com/lose-10-pounds-in-2-weeks-quick-weight-loss-tips].[/url] Therefore if you're one of these citizens, you're not alone. Infact many among us need to lose 10 to 20 lbs once in a while to get sexy and perfect six pack abs. Now next question is how you can achive quick weight loss? You can easily lose with with little effort. You need to improve some of you daily habbits to achive weight loss in short span of time.

About me: I am author of [url=http://www.weightrapidloss.com/lose-10-pounds-in-2-weeks-quick-weight-loss-tips]Quick weight loss tips[/url]. I am also health expert who can help you lose weight quickly. If you do not want to go under difficult training program than you may also try [url=http://www.weightrapidloss.com/acai-berry-for-quick-weight-loss]Acai Berry[/url] or [url=http://www.weightrapidloss.com/colon-cleanse-for-weight-loss]Colon Cleansing[/url] for quick weight loss.

Anonymous said...

don patrick pitzer catholic dating http://loveepicentre.com/faq.php 100 free classic dating

Anonymous said...

[url=http://loveepicentre.com/][img]http://loveepicentre.com/uploades/photos/7.jpg[/img][/url]
adult dating forums [url=http://loveepicentre.com/taketour.php]julian dating system[/url] dating games with sex
herpes dating emmett idaho [url=http://loveepicentre.com/]dating buildings using window style[/url] ukriane dating sites ranked
dating sim hentai [url=http://loveepicentre.com/faq.php]dating singles cruises[/url] dating service jeff stark

Anonymous said...

the time thief free ebook http://audiobookscollection.co.uk/fr/Best-Practice-Ideas-And-Insights-From-The-World-s-Foremost-Business-Thinkers/p210013/ boundaries cloud and townsend ebook [url=http://audiobookscollection.co.uk/es/BusinessWeek-Fast-Track-Best-Undergraduate-B-Schools/p168994/]ebook 70-624 torrent[/url] ebook harley

Anonymous said...

book of the dead ebook http://audiobookscollection.co.uk/de/Taste-of-Lightning/p226720/ free erotic romance ebook [url=http://audiobookscollection.co.uk/de/latest-audio-books/]ebook college reading study skills[/url] ebook on arctic cat panther snowmobile

Anonymous said...

raw emotions ebook http://audiobookscollection.co.uk/fr/Blue-Moon/p30049/ gary townsend ebook cold sores [url=http://audiobookscollection.co.uk/fr/The-ROI-from-Software-Quality/p143104/]john varley red thunder ebook[/url] ebook readers australia

Anonymous said...

clickbank ebook clickbank software http://audiobooksplanet.co.uk/it/The-Perfect-Summer/p25898/ darkness everlasting ebook [url=http://audiobooksplanet.co.uk/Changing-Institutions-in-the-European-Union-A-Public-Choice-Perspective/p158181/]please understand me ebook[/url] mac perl free ebook pdf

Anonymous said...

kriminalgeschichte des christentums pdf ebook download http://audiobooksworld.co.uk/Doc-Sidhe/p199689/ ebook searcher [url=http://audiobooksworld.co.uk/es/Computadoras-e-Internet/c1015/?page=5]black magic sanction ebook[/url] general surgical operations kirk ebook
[url=http://audiobooksworld.co.uk/fr/K-Rajender-Ry/m69120/][img]http://audiobooksworld.co.uk/image/3.gif[/img][/url]

Anonymous said...

tcm practice management software http://buyoem.co.uk/fr/product-36467/Active-To-Do-List-3-0 silverfast scanning software [url=http://buyoem.co.uk/es/product-37244/PicturesToExe-Deluxe-5-5]dump truck business software[/url] writer's block 3 writing software website
[url=http://buyoem.co.uk/category-100-111/System-Tools?page=3]System Tools - Software Store[/url] gps navigation system software
[url=http://buyoem.co.uk/information-7/FAQ#faq3][img]http://buyoem.co.uk/image/5.gif[/img][/url]

Anonymous said...

dvd photo slide show software http://buyoem.co.uk/product-10732/OmniFormat-8-2 simplex fire alarm system software [url=http://buyoem.co.uk/product-35039/South-River-DMZedge-Server-Enterprise-Edition-3-2-x64]adobe photo shop 7.0 software[/url] teaching music software
[url=http://buyoem.co.uk/de/category-200-213/Musik-Software]Musik Software - Download OEM, Software Sale, OEM Software[/url] computer software edit yourself
[url=http://buyoem.co.uk/fr/product-37244/PicturesToExe-Deluxe-5-5][img]http://buyoem.co.uk/image/3.gif[/img][/url]

Anonymous said...

osx software download multiple images http://buyoemsoftware.co.uk/it/manufacturer-12/Cakewalk best free help desk software online [url=http://buyoemsoftware.co.uk/es/product-37377/Batch-Photo-Resizer-3-3]palm windows software[/url] zebra barcode msl label software
[url=http://buyoemsoftware.co.uk/de/category-8/Office-Tools]Office Tools - Cheap Legal OEM Software, Software Sale, Download OEM[/url] computer associates prism software
[url=http://buyoemsoftware.co.uk/product-37122/Pdf2Word-2-1][img]http://buyoem.co.uk/image/6.gif[/img][/url]

Anonymous said...

wepcrack encryption cracking software http://buysoftwareonline.co.uk/product-37007/Flash-Video-MX-Wine dvbviewer software and coreavc video driver [url=http://buysoftwareonline.co.uk/category-9/Antivirus-and-Security?page=9]blazedtv software[/url] what is palm desktop software
[url=http://buysoftwareonline.co.uk/product-36794/Adobe-Flash-Media-Streaming-Server-4-5-x64]Adobe Flash Media Streaming Server 4.5 x64 - Software Store[/url] parashar light 2000 software in astrology
[url=http://buysoftwareonline.co.uk/product-36740/RoomMate-5-0][img]http://buyoem.co.uk/image/2.gif[/img][/url]

Anonymous said...

[url=http://redbrickstore.co.uk/products/allopurinol.htm][img]http://onlinemedistore.com/4.jpg[/img][/url]
history of pharmacy tech http://redbrickstore.co.uk/products/uroxatral.htm mercer pharmacy school [url=http://redbrickstore.co.uk/products/flagyl-er.htm]will a pharmacy take my sharps container milwaukee county[/url]
mexican pharmacy hcg http://redbrickstore.co.uk/products/plan-b.htm inman pharmacy cambridge [url=http://redbrickstore.co.uk/products/imitrex.htm]imitrex[/url]
cash on delivery pharmacy http://redbrickstore.co.uk/products/amitriptyline.htm canada pharmacy diet phills [url=http://redbrickstore.co.uk/products/nizoral.htm]long term care pharmacy director[/url]
pharmacy jobs in austin texas http://redbrickstore.co.uk/products/cok-n--energy-and-sensory-enhancer-.htm example of on how to manage the price of drugs in pharmacy [url=http://redbrickstore.co.uk/products/generic-motrin.htm]generic motrin[/url]

Anonymous said...

[url=http://certifiedpharmacy.co.uk/products/generic-imitrex.htm][img]http://onlinemedistore.com/12.jpg[/img][/url]
merck pharmacy locator http://certifiedpharmacy.co.uk/products/lanoxin.htm south dakota state board of pharmacy [url=http://certifiedpharmacy.co.uk/products/cleocin.htm]south carolina college of pharmacy[/url]
arcadia pharmacy debary florida http://certifiedpharmacy.co.uk/categories/general-health.htm fda guide lines pharmacy [url=http://certifiedpharmacy.co.uk/products/plan-b.htm]plan b[/url]
pharmacy acquisition http://certifiedpharmacy.co.uk/products/femara.htm maine state board of pharmacy [url=http://certifiedpharmacy.co.uk/products/pepcid.htm]compare pharmacy prices pensacola fl[/url]
pharmacy trend http://certifiedpharmacy.co.uk/products/cialis-soft-tabs.htm eadon pharmacy in gloucester ma [url=http://certifiedpharmacy.co.uk/products/starlix.htm]starlix[/url]

Anonymous said...

[url=http://certifiedpharmacy.co.uk/products/doxazosin.htm][img]http://onlinemedistore.com/7.jpg[/img][/url]
what are the advantages of online pharmacy http://certifiedpharmacy.co.uk/products/retin-a-0-05-.htm elephant pharmacy current coupon [url=http://certifiedpharmacy.co.uk/products/seroquel.htm]kings college foundation pharmacy[/url]
pharmacy technician age limit http://certifiedpharmacy.co.uk/products/apcalis-sx.htm my home pharmacy [url=http://certifiedpharmacy.co.uk/products/benicar.htm]benicar[/url]
cheap ranitidine pharmacy http://certifiedpharmacy.co.uk/products/symmetrel.htm va eugene clinic pharmacy [url=http://certifiedpharmacy.co.uk/products/hytrin.htm]belize pharmacy[/url]
a clinical pharmacy oriented drug surveillance network http://certifiedpharmacy.co.uk/products/bactrim.htm washington pharmacy law for dummies [url=http://certifiedpharmacy.co.uk/products/remeron.htm]remeron[/url]

Anonymous said...

[url=http://englandpharmacy.co.uk/products/suhagra.htm][img]http://onlinemedistore.com/2.jpg[/img][/url]
safeserv pharmacy combo http://englandpharmacy.co.uk/products/glucophage.htm walmart pharmacy questions [url=http://englandpharmacy.co.uk/products/metoclopramide.htm]trivantage pharmacy strategies[/url]
meijer pharmacy technician http://englandpharmacy.co.uk/products/prinivil.htm adderall xr pharmacy [url=http://englandpharmacy.co.uk/products/zantac.htm]zantac[/url]
national compounding pharmacy association http://englandpharmacy.co.uk/products/prednisone.htm pharmacy sertraline [url=http://englandpharmacy.co.uk/products/differin.htm]order xanax online pharmacy[/url]
state board of pharmacy http://englandpharmacy.co.uk/categories/anti-depressant-anti-anxiety.htm career cvs pharmacy [url=http://englandpharmacy.co.uk/products/lotensin.htm]lotensin[/url]