Wednesday, October 21, 2009

[TheOptionClub.com] Re: Options Price Theoretical vs Real

 

The question becomes how did you calculate the theoretical value?

Because the theoretical value is such that, theoretical...

Looking at your numbers I am guessing you were calculating the 220 November strike?

Looking at the movement of the price I see that around the first week of October the market was pricing a possible hit of 220. But then after that the market has essentially given up of hitting 220 by the time November expiry rolls around.

If I overlay the stock movement on the option price action I see that implvol is slowly being sucked out (incl theta decay) as time passed. With a big drop being earnings. Though I would add that should not surprise anybody.

Christian Gross

--- In OptionClub@yahoogroups.com, "NoelC" <a0022417@...> wrote:
>
> 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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