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Along the lines of the earlier analysis I've completed a model for prices during 2008. Interestingly, the Sept 2008 drop was only 73 points but due to the IV doubling made this the 2nd largest price increase for the year.
As a side note, I don't think anyone who wasn't a hermit in the woods didn't know about the financial crisis by October and I doubt anyone would have had the steel tacks to short puts here on 9/22/08 but it was fun to include. As an academic side note, the vol increase of 190% in 29 days is not the largest vol increase for commodities. There have been several 300% increases in other markets.
Ron, if you want to provide your QST spot prices I'd be glad to substitute.
January 2008
12/25/2007 Strike 1040
Spot 1506.5
Deal date 12/25/07
Expiry date 03/27/08 DTE 92
Vol at .03 delta 42%
Risk Free Rate 2.8%
Put 3.83
1/21/2008
Strike 1040
Spot 1309.25
Deal date 1/21/08
Expiry date 3/27/08
DTE 66
Vol at .13 delta 54%
Risk Free Rate 2.8%
Put 21.15
July 2008
6/5/2008
Strike 930
Spot 1405.25
Deal date 6/5/08
Expiry date 9/27/08
DTE 112
Vol at .03 delta 42%
Risk Free Rate 2.26%
Put 3.73
7/15/2008
Strike 930
Spot 1211.5
Deal date 7/15/2008
Expiry date 9/27/08
DTE 72
Vol at .11 delta 56%
Risk Free Rate 2.26%
Put 18.67
September 2008
8/28/2008
Strike 890
Spot 1299.75
Deal date 8/28/08
Expiry date 12/4/08
DTE 96
Vol at .03 delta 42%
Risk Free Rate 2.1%
Put 3.4
9/16/2008
Strike 890
Spot 1216.25
Deal date 9/16/08
Expiry date 12/4/08
DTE 77
Vol at .14 delta 78%
Risk Free Rate 2.1 %
Put 38.08
October 2008
9/22/08
Strike 710
Spot 1213.75
Deal date 9/22/08
Expiry date 12/27/08
DTE 95
Vol at .03 delta 62%
Risk Free Rate 1.99%
Put 5.16
10/23/2008
Strike 710
Spot 915.25
Deal date 10/23/08
Expiry date 12/27/08
DTE 64
Vol at .22 delta 120%
Risk Free Rate 1.57%
Put 77.41
Cracking thread @ron99 and others. Currently reading through the lot trying to learn more about options as part of my general learning. Still quite ignorant, but would like some help on something.
I'm still unsure how to read these properly, please see my two examples below for the OESX (EuroStoxx50) Sept 15 Calls:
From my understanding, If I wanted to Sell a Call with a strike price at 4,100.00, I would place a Sell Limit at the Ask at 13.50.
The current price is 3575 for Sept15 Futs.
4100 - 3575 = 525
525 / 13.5 =€38.88
This seems a little low to me. Where am I going wrong? What's the correct way to calculate the premium based on the above info?
The underlying Future is the EuroStoxx 50 (FESX). So you take the big point value which is €10 per point and multiply it by the price of €13.50. This gives you a value of €135.