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         Use the contract is question to search for specific characteristics of contract months.

Example:

         The market’s range is more than one point in a day. Then, test the results for each contract month.

Questions from Traders:

         Are some contract months more volatile than others? What is the most volatile contract month?

Setting Up the Search:

Click on the parts of the box below where appears for explanations of features.

Answers:

         We first found all the days where the market traded beyond a one-point range. It was then a simple procedure to refine the search for each contract month. Our results showed that the most volatile contract month was June with 32.5% of the one point plus days. December followed with 26.7% of the days while March and September each had 20.4% of the one point plus days. Options traders in particular can use the contract month question to design volatility strategies.