Index

A

AAPL $140 short straddle, minute-by-minute value of, 112

AAPL $165/$170 short straddle, minute-by-minute value of, 112

anomalies, definition of, 7

Apple Computer

expiration week price change histories, 32-33

final evening price change summaries, 89

frequency of strike price crosses, 37-40

ratio of in-the-money minutes to strike cross minutes, 61

ratio trades for four consecutive expirations, 91-94

summary data for 12 expirations, 71

applications, Excel VBA program for counting strike price crosses, 143-147

B-C

Black-Scholes calculator, 109

calculating

difference between strike and closing prices, 8

number of minutes where closing price was more than $2 from strike price, 8

strike price crosses, 36-39

Excel VBA program, 143-147

frequency ...

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