LYON FANNE CASE Options and Futures - Dec 2004 Introduction: We divided our report in three parts, which correspond to three steps we made to solve the problem of the case. In order to help Professor A. Lyon Fanne to decide whether he should close his position or not on the future contract, we first analysed the research made by the professor about the "January effect", then we focused on his investment strategy and finally, thanks …showed first 75 words of 3135 total…

…showed last 75 words of 3135 total… a gain of $3100 uptil now. Also it seems that the market will decline further. There are already talks likening it to October 16. So he should maintain his position for some time. There is expectation that market will decline further so that he can gain from it. He can decide his situation after 2-3 days. Until that it will be clearer whether the market is on a decline trend or it was just a swing.