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In a message dated 7/6/2006 8:39:57 PM Eastern Standard Time, jz@xxxxxxxxx
writes:
Deep out of the money S&P's
That's all you need to say. I'm sure you saw a lot of option sellers get
wiped out in 1987 and a few less after 9/11. Since these fat tail events are so
few and far between, it is hard to quantify the risk.
This link below about Nassim Taleb and how he deals with fat tails is very
interesting. He does the opposite-he buys the overpriced OTM options and
waits for the fat tail to occur.
_http://www.gladwell.com/2002/2002_04_29_a_blowingup.htm_
(http://www.gladwell.com/2002/2002_04_29_a_blowingup.htm)
Howard
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