AAPL Options are mispriced...

Discussion in 'Options' started by CaliforniaKid23, Oct 23, 2007.

  1. Did anyone notice that options for apple are undervalued, i own Nov 200 calls at 270 and they are almost half of their theoretical value.

    or am i misunderstanding something here? or did the volatility just drop after earnings? (that seems unlikely)
     
  2. Gustaf

    Gustaf

    Which strike and expiry?
     


  3. ...okay sure. but calling someone idiotic and not saying anything relevant makes you some sort of an intellectual? but hey, whatever makes feel great.

    can anyone else actually give advice? (i am new to options)
     
  4. What is the volatility input in the model that is giving you that theoretical value?
     

  5. about 50%. Is there a website that i can find out the current volatility?
     
  6. Gustaf

    Gustaf

    AAPL historical volatility: 40.47%
    AAPL 200 call implied volatility: 37.3%
     
  7. current vols for NOV are 37% or so for 200 Calls. If you are trading through a broker, your broker shoudl have real time IV quotes. Look for it there.

    ATM vols were about 51% before the announcement and dropped hard on the gap higher. Need to learn how IV affects the price of options when you trade them.
     
  8. Nov. vol is around 38 %
     
  9. thankyou so much for your help!. Until now, i never realized my broker had the IV (i had it in basic mode in optionshouse and i couldn't see all the details). But now i know.
     
  10. What do you mean by theoretical value? The value when you bought your call?

    After earning report, IV dropped, and so even when spot moved up, your call might go down.
     
    #10     Oct 23, 2007