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股票期货突破技术分析(英文原版)-第35章

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Figure 7。2 indicates。there were a number of junctures。in late 2004 and early 2005 for entering an AMR long position based on a move above the 40…week。moving average。 Some of these moves。were followed by。pullbacks。that may have stopped the trader out; but an entry in the 9 to 10 area in late March 2005 or perhaps。an entry in October 2005 in the 12 area on the successful retest of the 40…week。would each have been quite legitimate。 
Using a move back。below the 40…week。moving average as。an exit criterion; the trader would have exited in July or August 2000 in the 21 to 22 area。 So a technician trading AMR off the bearish sentiment could have achieved something in the area of a double based on a simple 40…week。moving average cross。criterion for entry and exit。 
Figure 7。3 presents。a second example; which charts。the price action in Yahoo! (YHOO) along with the 50…day moving average of its。put call open interest ratio (SOIR)。 The SOIR for Yahoo! remained above 1。00 for most of the period from mid…2003 through the end of 2004; during which the shares。tripled from 13 to 30。 This。is once again a juxtaposition of strong price action and bearish sentiment; and it provided a very bullish backdrop for Yahoo! shares。during this。period。 What's。more; Yahoo! was。among the most heavily。shorted Nasdaq shares during this。period; with short interest in the neighborhood of 100 million shares。 
Figure 7。4 charts。the weekly price action of Yahoo! along with its。40…week。moving average and shows。the powerful uptrend in Yahoo! shares。during the entire period of excess。put activity from mid…2003 through the end of 2004。 A contrarian trader could have felt fortable in entering a long position at the beginning of this。period and holding it for the entire 200 percent gain; but a few caveats。are in order。 

Note in Figure 7;3 that the SOIR for Yahoo! did move below 1。00 for several brief periods。 And although one could argue that Yahoo!'s strong price action would have been more than sufficient to justify retaining the long position in the shares; there was。the potential for a trader to exit the position based solely on the SOIR above the established 
1。00 parameter。 Also; the shares。did move briefly below the 40…week。moving average in August 2004; although not on a weekly closing basis。 Again; there would have been the potential for a shakeout; but nonetheless at a very hefty profit level。 
Immeasurable* 
The put/call open interest ratio (SOIR) is。one of a number of ways。of slicing and dicing the information a trader can glean from the ebb and flow of option activity。 A put/call open interest ratio that's。a consistent outlier may indicate tradable extremes。in sentiment on a particular equity; but there are limitations。to the scope of what the ratio can measure。 
The SOIR is。calculated using a ratio of put to call open interest for the three front expiration months。 A stock。may exhibit a very。high SOIR; but if the level of option activity on that stock。is。modest—relative to average trading volume or to share float—the significance of a high ratio of put to call open interest is。radically diminished and may in many cases。be of zero consequence。 This。option activity would be described as。being of 〃low intensity。〃 
Option pricing would be yet another measure of the intensity of option activity。 Options are priced based on a probabilistic。model whose major inputs。include the share price; the strike price of the option; the time remaining until option expiration; and the assumed future volatility of the underlying stock。 Within a group of on…the…money options。(options for which the stock。price equals。the strike price) on various nondividend…paying stocks。with a mon expiration date; the differences。in option pricing levels。can be explained almost entirely by。the differing assumptions。for future volatility。 
Although the assumed volatility (known as。implied volatility。among options traders) does。not coincide precisely with the recent volatility of each stock; it is。usually close enough so that the following example of how option prices。can vary more than suffices。 Hansen Natural (HANS) is。an energy drink。manufacturer whose stock。has。alternated between very。hot and very cold。 The wild gyrations。in the share price translate at this。stage into an annual volatility of about 70 percent。 
Cisco Systems。(CSCO); on the other hand; has。bee a steadily growing blue…chip pany in the technology。space with a market capitalization in excess。of 150 billion。 It is widely covered on Wall Street and widely held by institutional investors。 So it should be no surprise that the annual volatility of Cisco shares is。modest and in the neighborhood of 25 percent。 
How do these varying volatilities。translate into the pricing of Hansen and Cisco options? A three…month; on…the…money call option on Hansen would trade at approximately。14 percent of the share price; a similar option on Cisco would trade at approximately 5 percent of the share price。 In other words; the options。are priced in direct proportion to the assumed volatility of the underlying stock。 
The Fear Factor 
But volatility。assumptions。are constantly changing for even optionable stock。 Sometimes。this。is。simply the result of a change in the recent volatility of the stock。 Sometimes。it's。in anticipation of an uping event—such as。an earnings。report—that is expected to result in increased share volatility。 And sometimes。it's。the result of intense option buying prompted by greed or; more often; fear。 Fear is。a potentially strong directional clue for the trader。 At Schaeffer’s。Investment Research; an 〃equity VIX〃 is。calculated for every optionable stock。in order to sharpen the focus。on such situations。 
Most traders。are probably familiar with the CBOE Volatility Index (VIX); calculated by the Chicago Board Options。Exchange to measure the implied volatility。of the options。on the S&P 500 Index (SPX)。 The VIX is。often referred to as。a “fear gauge” because a rising VIX is almost always associated with increased demand for index put options。due to increased investor fear of a market decline。 In fact; major spikes。in the VIX have been associated with major market bottoms; as。extremes。in fear invariably indicate massive investor capitulation and liquidation; which denotes。that the selling pressure has。lifted。 Of course; the difficulty。lies。in determining when the fear level has。reached a true extreme; because taking a bullish position before the fear has。truly peaked is。extremely risky and potentially disastrous。 
The equity VIX calculated at Schaeffer's。is designed to focus。attention on stocks experiencing unusual swings。in the implied volatility of their options; and; just as。with the CBOE VIX; spikes。in volatility are of particular interest as。a directional indicator for stocks。 No stock。in recent years。has。provided traders。with more in the way。of volatility spikes。than General Motors。(GM)。 


The next major spike in GM option volatility occurred in the second quarter of 2005; as seriousncerns。about the pany's。financial viability。began to reverberate through Wall Street。 Huge positions。in long…term GM puts were being accumulated; some as。outright bets on the pany's。demise and some as part of hedged positions
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