39 lines
1.1 KiB
Plaintext
39 lines
1.1 KiB
Plaintext
794 Part VI: Measuring and Trading Volatility
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FIGURE 38-3.
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Stock price distribution, IBM, 7-year.
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7
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6
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5
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0 4
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:g
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::,
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0 3 ()
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2
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0f-<--,.Jil,,J:.~------+---+---+----+--____;_,=!!:¥+-
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-4.0 -3.0 -2.0 -1.0 0.0 + 1.0 +2.0 +3.0 +4.0
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Sigmas
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dangerous naked puts and long stock on margin can be on days like this. No proba
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bility calculator is going to give much likelihood to a day like this occurring, but it did
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occur and it benefited those holding long puts greatly, while it seriously hurt others.
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In addition to distributions for individual dates, distributions for individual stocks
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were created for the time period in question. The graph for IBM, using data from the
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same study as above (September 1993 to April 2000) is shown in Figure 38-3. In the
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next graph, Figure 38-4, a longer price history of IBM is used to draw the distribution:
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1987 to 2000. Both graphs depict 30-day movements in IBM.
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FIGURE 38-4.
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Actual stock price distribution, IBM, 13-year.
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13
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12
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11
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10
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9
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0 8 ,...
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E 7
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5 6
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() 5
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4
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3
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2
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1
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o -4.0 -3.0 -2.0 -1.0 0.0 + 1.0 +2.0 +3.0 +4.0
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Sigmas |