Chris,
Thank you , Yes I calculated the IV myself last night,, and it was actually much lower than my Computer and several other online sources were showing,,
They were showing it almost 10 points higher,
That was my problem with the formula,
a wrong Piece of data
Thanks
Noel
From:
Sent: Wednesday, October 21, 2009 5:37 AM
To:
Subject: [TheOptionClub.
Noel,
Theoretical price is derived from an options pricing formula such as the
Black-Scholes formula. The reason you saw such a swing in the price of
those options is because the option premiums had inflated due to the
uncertainty surrounding AAPL's impending earnings release. This
represented an increase in implie volatility. Once earnings were
released, the uncertainty was removed and implied volatility fell. This
phenomenon has been described as an IV collapse.
The reality is that there was no deviation from the theoretical price
and the actual price. It's just that at that particular moment the IV
figure being used to calculate theoretical price was no longer in step
with the market.
Christopher Smith
TheOptionClub.
--- In OptionClub@yahoogro
>
> Did anyone think it was strange that Between yesterday and today and
now,, the AAPL Call and most put Options were over 100% less than their
theoretical value, Someone explain please
>
> I had one that theoretically it should have been $3.90 and it hit a
high of 1.60 for a split second at the opening and has been totally
wrong ever since and after looking at all of the NOV chain its all wrong
>
> What the Hell!
>
> Noel
>
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