in the underlying Stock ? I am looking for a way , that I can get a rough estimate as to what an outright Call or Put that I buy , will be worth when the stock moves X amount in my favor ( per $1 move the stock moves, $3 move, $5, $10, $50, etc. ) I know that Time value is a factor in this, but I am basing this on buying OTM options ( 6 months out till expiration minimum, with the average being 1 year or more out to expiration ) These Options will be purchased way out of the money ...... with the average option costing between ( .25 - $3 ) ..... depending on the Stock and stock price of course, being a factor as to how much I can expect to pay for these otm options And lastly , this will also assume that the stocks moves in my favor rather quickly ( although I know realistically this certainly does not happen all of the time ) These purchased Way OTM options are more of a Lottery play/trade you could say , but when I am expecting a BIG move in a stock , and for that move to " Hopefully " occur soon after I buy the options , I would like to have an Idea as to what my .50 purchased Calls for example will be worth, if the stock moves $5 in price , and does so with at least 4 months left till expiration Side Note ( we will also assume that the Options we trade, have good Volume and O.I , as well as tight spreads between the bid x ask ) EXAMPLE: Lets say stock XYZ is trading for $60 a share We expect XYZ to make a BIG move to the upside ( from technical analysis ).... a Break Out trade We buy the $70 otm calls with 8 months till expiration for $1 Now, do we expect it to get to $70 .... Likely not, but it's not impossible, as this stock has traded as high as $70 in the past So if XYZ moves $6 with 3 months left till expiration, what can we then expect are $1 call to now be worth ...... $7 ish ? Hopefully my question(s) make sense Thank you for any and all help and input
You just need an options calculator. There are many on the web. If you can use a C++ commandline tool, then just compile the following C++ code I had posted here: http://www.elitetrader.com/et/index.php?attachments/bsm_v100c-zip.161202/ Some comments on it you can can find here: http://www.elitetrader.com/et/index...es-merton-options-pricing-engine-in-c.297419/ If you need a tool with bells and whistles and possibly with a GUI, and suited exactly for your requirements then IMO it's best to code it yourself, or simply let it do by a programmer. The following table has been created with an extended version of the code (year = 252 trading days): Code: Spot=60.000 Strike=70.00 ExpDays=63 HoldDays=10 IRpct=0.000000% VolaPctS=30.00000% --> Call=0.766748 Put=10.766748 Day 0 : Annual : Vola=30.00% +1SD=34.99% -1SD=-25.92% Daily : Vola=1.89% +1SD=1.91% -1SD=-1.87% Period(0 days) : Vola=1.89% +1SD=1.91%( 61.14) -1SD=-1.87%( 58.88) C@+1SD=0.9808(27.9%) C@-1SD=0.5925(-22.7%) P@+1SD=9.8362(-8.6%) P@-1SD=11.7158(8.8%) deltaSpot% spot call put cprm0PL% pprm0PL% ----------------------------------------------------------------------------------- 10.00% 66.00000 2.37355 6.37355 209.56030% -40.80342% 9.00% 65.40000 2.15511 6.75511 181.07139% -37.25953% 8.00% 64.80000 1.95029 7.15029 154.35938% -33.58909% 7.00% 64.20000 1.75889 7.55889 129.39628% -29.79411% 6.00% 63.60000 1.58063 7.98063 106.14770% -25.87703% 5.00% 63.00000 1.41521 8.41521 84.57310% -21.84074% 4.00% 62.40000 1.26227 8.86227 64.62603% -17.68855% 3.00% 61.80000 1.12140 9.32140 46.25452% -13.42415% 2.00% 61.20000 0.99218 9.79218 29.40148% -9.05162% 1.00% 60.60000 0.87413 10.27413 14.00522% -4.57534% 0.00% 60.00000 0.76675 10.76675 0.00000% 0.00000% -1.00% 59.40000 0.66950 11.26950 -12.68337% 4.66947% -2.00% 58.80000 0.58183 11.78183 -24.11689% 9.42796% -3.00% 58.20000 0.50318 12.30318 -34.37466% 14.27017% -4.00% 57.60000 0.43297 12.83297 -43.53221% 19.19073% -5.00% 57.00000 0.37060 13.37060 -51.66580% 24.18422% -6.00% 56.40000 0.31550 13.91550 -58.85172% 29.24519% -7.00% 55.80000 0.26709 14.46709 -65.16561% 34.36826% -8.00% 55.20000 0.22480 15.02480 -70.68181% 39.54814% -9.00% 54.60000 0.18806 15.58806 -75.47281% 44.77967% -10.00% 54.00000 0.15635 16.15635 -79.60863% 50.05785% Day 1 : Annual : Vola=30.00% +1SD=34.99% -1SD=-25.92% Daily : Vola=1.89% +1SD=1.91% -1SD=-1.87% Period(1 days) : Vola=1.89% +1SD=1.91%( 61.14) -1SD=-1.87%( 58.88) C@+1SD=0.9602(25.2%) C@-1SD=0.5769(-24.8%) P@+1SD=9.8155(-8.8%) P@-1SD=11.7002(8.7%) deltaSpot% spot call put cprm0PL% pprm0PL% ----------------------------------------------------------------------------------- 10.00% 66.00000 2.34364 6.34364 205.65964% -41.08120% 9.00% 65.40000 2.12610 6.72610 177.28793% -37.52896% 8.00% 64.80000 1.92227 7.12227 150.70451% -33.84937% 7.00% 64.20000 1.73193 7.53193 125.88034% -30.04450% 6.00% 63.60000 1.55481 7.95481 102.77992% -26.11687% 5.00% 63.00000 1.39058 8.39058 81.36145% -22.06946% 4.00% 62.40000 1.23889 8.83889 61.57714% -17.90567% 3.00% 61.80000 1.09931 9.29931 43.37361% -13.62931% 2.00% 61.20000 0.97141 9.77141 26.69233% -9.24455% 1.00% 60.60000 0.85469 10.25469 11.47012% -4.75588% 0.00% 60.00000 0.74865 10.74865 -2.36022% -0.16808% -1.00% 59.40000 0.65274 11.25274 -14.86933% 4.51380% -2.00% 58.80000 0.56639 11.76639 -26.13061% 9.28455% -3.00% 58.20000 0.48904 12.28904 -36.21947% 14.13879% -4.00% 57.60000 0.42008 12.82008 -45.21270% 19.07106% -5.00% 57.00000 0.35893 13.35893 -53.18765% 24.07584% -6.00% 56.40000 0.30500 13.90500 -60.22161% 29.14763% -7.00% 55.80000 0.25770 14.45770 -66.39106% 34.28099% -8.00% 55.20000 0.21644 15.01644 -71.77106% 39.47057% -9.00% 54.60000 0.18069 15.58069 -76.43461% 44.71117% -10.00% 54.00000 0.14988 16.14988 -80.45213% 49.99778% Day 2 : Annual : Vola=30.00% +1SD=34.99% -1SD=-25.92% Daily : Vola=1.89% +1SD=1.91% -1SD=-1.87% Period(2 days) : Vola=2.67% +1SD=2.71%( 61.63) -1SD=-2.64%( 58.42) C@+1SD=1.0391(35.5%) C@-1SD=0.5015(-34.6%) P@+1SD=9.4139(-12.6%) P@-1SD=12.0839(12.2%) deltaSpot% spot call put cprm0PL% pprm0PL% ----------------------------------------------------------------------------------- 10.00% 66.00000 2.31352 6.31352 201.73218% -41.36089% 9.00% 65.40000 2.09690 6.69690 173.48008% -37.80014% 8.00% 64.80000 1.89408 7.09408 147.02785% -34.11120% 7.00% 64.20000 1.70483 7.50483 122.34542% -30.29623% 6.00% 63.60000 1.52886 7.92886 99.39607% -26.35785% 5.00% 63.00000 1.36586 8.36586 78.13671% -22.29911% 4.00% 62.40000 1.21543 8.81543 58.51817% -18.12352% 3.00% 61.80000 1.07717 9.27717 40.48562% -13.83498% 2.00% 61.20000 0.95061 9.75061 23.97902% -9.43777% 1.00% 60.60000 0.83525 10.23525 8.93367% -4.93651% 0.00% 60.00000 0.73056 10.73056 -4.71914% -0.33607% -1.00% 59.40000 0.63601 11.23601 -17.05155% 4.35840% -2.00% 58.80000 0.55100 11.75100 -28.13836% 9.14157% -3.00% 58.20000 0.47495 12.27495 -38.05637% 14.00798% -4.00% 57.60000 0.40727 12.80727 -46.88357% 18.95207% -5.00% 57.00000 0.34735 13.34735 -54.69849% 23.96825% -6.00% 56.40000 0.29459 13.89459 -61.57938% 29.05094% -7.00% 55.80000 0.24840 14.44840 -67.60359% 34.19464% -8.00% 55.20000 0.20820 15.00820 -72.84684% 39.39396% -9.00% 54.60000 0.17342 15.57342 -77.38269% 44.64366% -10.00% 54.00000 0.14352 16.14352 -81.28189% 49.93869% Day 3 : Annual : Vola=30.00% +1SD=34.99% -1SD=-25.92% Daily : Vola=1.89% +1SD=1.91% -1SD=-1.87% Period(3 days) : Vola=3.27% +1SD=3.33%( 62.00) -1SD=-3.22%( 58.07) C@+1SD=1.0985(43.3%) C@-1SD=0.4456(-41.9%) P@+1SD=9.1020(-15.5%) P@-1SD=12.3778(15.0%) deltaSpot% spot call put cprm0PL% pprm0PL% ----------------------------------------------------------------------------------- 10.00% 66.00000 2.28320 6.28320 197.77737% -41.64253% 9.00% 65.40000 2.06752 6.66752 169.64738% -38.07308% 8.00% 64.80000 1.86572 7.06572 143.32908% -34.37461% 7.00% 64.20000 1.67758 7.47758 118.79126% -30.54934% 6.00% 63.60000 1.50280 7.90280 95.99600% -26.59998% 5.00% 63.00000 1.34103 8.34103 74.89884% -22.52969% 4.00% 62.40000 1.19190 8.79190 55.44919% -18.34207% 3.00% 61.80000 1.05497 9.25497 37.59069% -14.04114% 2.00% 61.20000 0.92977 9.72977 21.26177% -9.63128% 1.00% 60.60000 0.81579 10.21579 6.39616% -5.11721% 0.00% 60.00000 0.71249 10.71249 -7.07642% -0.50394% -1.00% 59.40000 0.61931 11.21931 -19.22961% 4.20329% -2.00% 58.80000 0.53565 11.73565 -30.13971% 8.99904% -3.00% 58.20000 0.46093 12.26093 -39.88486% 13.87776% -4.00% 57.60000 0.39454 12.79454 -48.54435% 18.83380% -5.00% 57.00000 0.33585 13.33585 -56.19782% 23.86147% -6.00% 56.40000 0.28428 13.88428 -62.92456% 28.95514% -7.00% 55.80000 0.23920 14.43920 -68.80272% 34.10925% -8.00% 55.20000 0.20005 15.00005 -73.90874% 39.31834% -9.00% 54.60000 0.16626 15.56626 -78.31666% 44.57714% -10.00% 54.00000 0.13727 16.13727 -82.09758% 49.88060% Day 4 : Annual : Vola=30.00% +1SD=34.99% -1SD=-25.92% Daily : Vola=1.89% +1SD=1.91% -1SD=-1.87% Period(4 days) : Vola=3.78% +1SD=3.85%( 62.31) -1SD=-3.71%( 57.77) C@+1SD=1.1475(49.7%) C@-1SD=0.4000(-47.8%) P@+1SD=8.8363(-17.9%) P@-1SD=12.6255(17.3%) deltaSpot% spot call put cprm0PL% pprm0PL% ----------------------------------------------------------------------------------- 10.00% 66.00000 2.25266 6.25266 193.79465% -41.92616% 9.00% 65.40000 2.03793 6.63793 165.78937% -38.34783% 8.00% 64.80000 1.83719 7.03719 139.60781% -34.63962% 7.00% 64.20000 1.65018 7.45018 115.21762% -30.80384% 6.00% 63.60000 1.47660 7.87660 92.57956% -26.84328% 5.00% 63.00000 1.31611 8.31611 71.64780% -22.76121% 4.00% 62.40000 1.16830 8.76830 52.37024% -18.56134% 3.00% 61.80000 1.03272 9.23272 34.68898% -14.24778% 2.00% 61.20000 0.90891 9.70891 18.54083% -9.82505% 1.00% 60.60000 0.79633 10.19633 3.85792% -5.29797% 0.00% 60.00000 0.69443 10.69443 -9.43166% -0.67167% -1.00% 59.40000 0.60264 11.20264 -21.40309% 4.04850% -2.00% 58.80000 0.52036 11.72036 -32.13417% 8.85701% -3.00% 58.20000 0.44698 12.24698 -41.70446% 13.74818% -4.00% 57.60000 0.38188 12.78188 -50.19452% 18.71628% -5.00% 57.00000 0.32445 13.32445 -57.68516% 23.75555% -6.00% 56.40000 0.27406 13.87406 -64.25665% 28.86028% -7.00% 55.80000 0.23012 14.43012 -69.98802% 34.02484% -8.00% 55.20000 0.19202 14.99202 -74.95634% 39.24373% -9.00% 54.60000 0.15921 15.55921 -79.23615% 44.51166% -10.00% 54.00000 0.13112 16.13112 -82.89888% 49.82354% Day 5 : Annual : Vola=30.00% +1SD=34.99% -1SD=-25.92% Daily : Vola=1.89% +1SD=1.91% -1SD=-1.87% Period(5 days) : Vola=4.23% +1SD=4.32%( 62.59) -1SD=-4.14%( 57.52) C@+1SD=1.1896(55.1%) C@-1SD=0.3611(-52.9%) P@+1SD=8.5998(-20.1%) P@-1SD=12.8438(19.3%) deltaSpot% spot call put cprm0PL% pprm0PL% ----------------------------------------------------------------------------------- 10.00% 66.00000 2.22191 6.22191 189.78344% -42.21182% 9.00% 65.40000 2.00816 6.60816 161.90558% -38.62441% 8.00% 64.80000 1.80848 7.00848 135.86369% -34.90625% 7.00% 64.20000 1.62262 7.42262 111.62422% -31.05974% 6.00% 63.60000 1.45028 7.85028 89.14661% -27.08776% 5.00% 63.00000 1.29108 8.29108 68.38355% -22.99367% 4.00% 62.40000 1.14461 8.74461 49.28141% -18.78131% 3.00% 61.80000 1.01043 9.21043 31.78066% -14.45490% 2.00% 61.20000 0.88802 9.68802 15.81646% -10.01907% 1.00% 60.60000 0.77686 10.17686 1.31927% -5.47876% 0.00% 60.00000 0.67639 10.67639 -11.78445% -0.83922% -1.00% 59.40000 0.58601 11.18601 -23.57152% 3.89408% -2.00% 58.80000 0.50512 11.70512 -34.12125% 8.71550% -3.00% 58.20000 0.43310 12.23310 -43.51463% 13.61927% -4.00% 57.60000 0.36932 12.76932 -51.83355% 18.59956% -5.00% 57.00000 0.31314 13.31314 -59.15997% 23.65052% -6.00% 56.40000 0.26395 13.86395 -65.57516% 28.76638% -7.00% 55.80000 0.22114 14.42114 -71.15899% 33.94145% -8.00% 55.20000 0.18410 14.98410 -75.98919% 39.17018% -9.00% 54.60000 0.15227 15.55227 -80.14076% 44.44724% -10.00% 54.00000 0.12509 16.12509 -83.68543% 49.76752% Day 6 : Annual : Vola=30.00% +1SD=34.99% -1SD=-25.92% Daily : Vola=1.89% +1SD=1.91% -1SD=-1.87% Period(6 days) : Vola=4.63% +1SD=4.74%( 62.84) -1SD=-4.52%( 57.29) C@+1SD=1.2267(60.0%) C@-1SD=0.3272(-57.3%) P@+1SD=8.3840(-22.1%) P@-1SD=13.0413(21.1%) deltaSpot% spot call put cprm0PL% pprm0PL% ----------------------------------------------------------------------------------- 10.00% 66.00000 2.19093 6.19093 185.74315% -42.49954% 9.00% 65.40000 1.97817 6.57817 157.99551% -38.90286% 8.00% 64.80000 1.77959 6.97959 132.09634% -35.17454% 7.00% 64.20000 1.59492 7.39492 108.01082% -31.31707% 6.00% 63.60000 1.42383 7.82383 85.69700% -27.33342% 5.00% 63.00000 1.26595 8.26595 65.10607% -23.22708% 4.00% 62.40000 1.12085 8.72085 46.18277% -19.00197% 3.00% 61.80000 0.98808 9.18808 28.86592% -14.66247% 2.00% 61.20000 0.86711 9.66711 13.08895% -10.21330% 1.00% 60.60000 0.75740 10.15740 -1.21939% -5.65955% 0.00% 60.00000 0.65837 10.65837 -14.13436% -1.00657% -1.00% 59.40000 0.56943 11.16943 -25.73441% 3.74005% -2.00% 58.80000 0.48995 11.68995 -36.10042% 8.57456% -3.00% 58.20000 0.41930 12.21930 -45.31485% 13.49107% -4.00% 57.60000 0.35684 12.75684 -53.46090% 18.48367% -5.00% 57.00000 0.30193 13.30193 -60.62171% 23.54643% -6.00% 56.40000 0.25395 13.85395 -66.87957% 28.67349% -7.00% 55.80000 0.21227 14.41227 -72.31515% 33.85911% -8.00% 55.20000 0.17630 14.97630 -77.00684% 39.09771% -9.00% 54.60000 0.14545 15.54545 -81.03010% 44.38391% -10.00% 54.00000 0.11918 16.11918 -84.45690% 49.71258% Day 7 : Annual : Vola=30.00% +1SD=34.99% -1SD=-25.92% Daily : Vola=1.89% +1SD=1.91% -1SD=-1.87% Period(7 days) : Vola=5.00% +1SD=5.13%( 63.08) -1SD=-4.88%( 57.07) C@+1SD=1.2599(64.3%) C@-1SD=0.2970(-61.3%) P@+1SD=8.1836(-24.0%) P@-1SD=13.2233(22.8%) deltaSpot% spot call put cprm0PL% pprm0PL% ----------------------------------------------------------------------------------- 10.00% 66.00000 2.15972 6.15972 181.67315% -42.78938% 9.00% 65.40000 1.94799 6.54799 154.05866% -39.18322% 8.00% 64.80000 1.75053 6.95053 128.30537% -35.44451% 7.00% 64.20000 1.56706 7.36706 104.37715% -31.57583% 6.00% 63.60000 1.39725 7.79725 82.23060% -27.58028% 5.00% 63.00000 1.24072 8.24072 61.81534% -23.46142% 4.00% 62.40000 1.09702 8.69702 43.07444% -19.22333% 3.00% 61.80000 0.96568 9.16568 25.94497% -14.87048% 2.00% 61.20000 0.84617 9.64617 10.35861% -10.40774% 1.00% 60.60000 0.73794 10.13794 -3.75769% -5.84032% 0.00% 60.00000 0.64038 10.64038 -16.48093% -1.17368% -1.00% 59.40000 0.55289 11.15289 -27.89125% 3.58645% -2.00% 58.80000 0.47484 11.67484 -38.07114% 8.43421% -3.00% 58.20000 0.40557 12.20557 -47.10453% 13.36362% -4.00% 57.60000 0.34445 12.74445 -55.07598% 18.36865% -5.00% 57.00000 0.29083 13.29083 -62.06981% 23.44330% -6.00% 56.40000 0.24406 13.84406 -68.16932% 28.58164% -7.00% 55.80000 0.20353 14.40353 -73.45600% 33.77787% -8.00% 55.20000 0.16862 14.96862 -78.00885% 39.02635% -9.00% 54.60000 0.13875 15.53875 -81.90376% 44.32169% -10.00% 54.00000 0.11338 16.11338 -85.21294% 49.65874% Day 8 : Annual : Vola=30.00% +1SD=34.99% -1SD=-25.92% Daily : Vola=1.89% +1SD=1.91% -1SD=-1.87% Period(8 days) : Vola=5.35% +1SD=5.49%( 63.29) -1SD=-5.20%( 56.88) C@+1SD=1.2899(68.2%) C@-1SD=0.2700(-64.8%) P@+1SD=7.9955(-25.7%) P@-1SD=13.3929(24.4%) deltaSpot% spot call put cprm0PL% pprm0PL% ----------------------------------------------------------------------------------- 10.00% 66.00000 2.12828 6.12828 177.57281% -43.08139% 9.00% 65.40000 1.91759 6.51759 150.09451% -39.46553% 8.00% 64.80000 1.72128 6.92128 124.49039% -35.71620% 7.00% 64.20000 1.53904 7.33904 100.72295% -31.83607% 6.00% 63.60000 1.37054 7.77054 78.74729% -27.82834% 5.00% 63.00000 1.21538 8.21538 58.51137% -23.69671% 4.00% 62.40000 1.07311 8.67311 39.95653% -19.44537% 3.00% 61.80000 0.94324 9.14324 23.01806% -15.07892% 2.00% 61.20000 0.82522 9.62522 7.62577% -10.60236% 1.00% 60.60000 0.71848 10.11848 -6.29520% -6.02102% 0.00% 60.00000 0.62242 10.62242 -18.82366% -1.34052% -1.00% 59.40000 0.53641 11.13641 -30.04149% 3.43333% -2.00% 58.80000 0.45980 11.65980 -40.03280% 8.29451% -3.00% 58.20000 0.39194 12.19194 -48.88307% 13.23696% -4.00% 57.60000 0.33217 12.73217 -56.67819% 18.25455% -5.00% 57.00000 0.27983 13.27983 -63.50369% 23.34119% -6.00% 56.40000 0.23429 13.83429 -69.44386% 28.49088% -7.00% 55.80000 0.19490 14.39490 -74.58102% 33.69775% -8.00% 55.20000 0.16106 14.96106 -78.99475% 38.95614% -9.00% 54.60000 0.13218 15.53218 -82.76134% 44.26062% -10.00% 54.00000 0.10770 16.10770 -85.95320% 49.60603% Day 9 : Annual : Vola=30.00% +1SD=34.99% -1SD=-25.92% Daily : Vola=1.89% +1SD=1.91% -1SD=-1.87% Period(9 days) : Vola=5.67% +1SD=5.83%( 63.50) -1SD=-5.51%( 56.69) C@+1SD=1.3171(71.8%) C@-1SD=0.2455(-68.0%) P@+1SD=7.8172(-27.4%) P@-1SD=13.5525(25.9%) deltaSpot% spot call put cprm0PL% pprm0PL% ----------------------------------------------------------------------------------- 10.00% 66.00000 2.09661 6.09661 173.44146% -43.37560% 9.00% 65.40000 1.88699 6.48699 146.10252% -39.74981% 8.00% 64.80000 1.69184 6.89184 120.65099% -35.98962% 7.00% 64.20000 1.51086 7.31086 97.04797% -32.09778% 6.00% 63.60000 1.34370 7.74370 75.24693% -28.07761% 5.00% 63.00000 1.18995 8.18995 55.19416% -23.93295% 4.00% 62.40000 1.04913 8.64913 36.82919% -19.66808% 3.00% 61.80000 0.92075 9.12075 20.08543% -15.28777% 2.00% 61.20000 0.80425 9.60425 4.89080% -10.79713% 1.00% 60.60000 0.69903 10.09903 -8.83147% -6.20164% 0.00% 60.00000 0.60449 10.60449 -21.16202% -1.50704% -1.00% 59.40000 0.51997 11.11997 -32.18454% 3.28071% -2.00% 58.80000 0.44483 11.64483 -41.98481% 8.15550% -3.00% 58.20000 0.37839 12.17839 -50.64983% 13.11114% -4.00% 57.60000 0.31999 12.71999 -58.26690% 18.14141% -5.00% 57.00000 0.26895 13.26895 -64.92273% 23.24013% -6.00% 56.40000 0.22464 13.82464 -70.70262% 28.40123% -7.00% 55.80000 0.18640 14.38640 -75.68966% 33.61880% -8.00% 55.20000 0.15363 14.95363 -79.96404% 38.88711% -9.00% 54.60000 0.12573 15.52573 -83.60240% 44.20072% -10.00% 54.00000 0.10215 16.10215 -86.67733% 49.55446% Day 10 : Annual : Vola=30.00% +1SD=34.99% -1SD=-25.92% Daily : Vola=1.89% +1SD=1.91% -1SD=-1.87% Period(10 days) : Vola=5.98% +1SD=6.16%( 63.69) -1SD=-5.80%( 56.52) C@+1SD=1.3421(75.0%) C@-1SD=0.2232(-70.9%) P@+1SD=7.6471(-29.0%) P@-1SD=13.7038(27.3%) deltaSpot% spot call put cprm0PL% pprm0PL% ----------------------------------------------------------------------------------- 10.00% 66.00000 2.06469 6.06469 169.27842% -43.67207% 9.00% 65.40000 1.85616 6.45616 142.08215% -40.03612% 8.00% 64.80000 1.66221 6.86221 116.78678% -36.26480% 7.00% 64.20000 1.48252 7.28252 93.35192% -32.36099% 6.00% 63.60000 1.31673 7.71673 71.72941% -28.32811% 5.00% 63.00000 1.16441 8.16441 51.86374% -24.17012% 4.00% 62.40000 1.02508 8.62508 33.69258% -19.89146% 3.00% 61.80000 0.89822 9.09822 17.14737% -15.49700% 2.00% 61.20000 0.78326 9.58326 2.15408% -10.99203% 1.00% 60.60000 0.67960 10.07960 -11.36601% -6.38214% 0.00% 60.00000 0.58660 10.58660 -23.49547% -1.67322% -1.00% 59.40000 0.50360 11.10360 -34.31981% 3.12865% -2.00% 58.80000 0.42994 11.62994 -43.92652% 8.01722% -3.00% 58.20000 0.36494 12.16494 -52.40417% 12.98621% -4.00% 57.60000 0.30791 12.70791 -59.84146% 18.02928% -5.00% 57.00000 0.25819 13.25819 -66.32631% 23.14018% -6.00% 56.40000 0.21511 13.81511 -71.94499% 28.31276% -7.00% 55.80000 0.17803 14.37803 -76.78139% 33.54105% -8.00% 55.20000 0.14632 14.94632 -80.91625% 38.81930% -9.00% 54.60000 0.11941 15.51941 -84.42654% 44.14203% -10.00% 54.00000 0.09673 16.09673 -87.38497% 49.50406%
Thank you for all of the great information and Links to calculators/tools Maverick74 , That's a good point with using the Delta So if I understand it correctly ..... if a $1 option has a Delta of .20 This means that for each $1 that the stock moves, then we will theoretically make .20 cents ? So then , the only reason it seems that someone would buy this way OTM options , is not for a BIG profit , but for a high ROI ?
The ONLY reason to ever buy an option is because you believe the expected net present value is greater then zero. Otherwise some other utility has to be derived from the ENPV being negative such that owning this option increases the ENPV of another holding.
just an example you can see with TOS ThinkBack : JPM on 24/02/2015 the price was 60.82 you could buy the 70 call Sep15 (206 days) in 0.58 on 18/05/2015 the price was 66.42 and you could sell your call at 0.97 Shay
Tank you for the real world example Shay I'll have to pull up ThinkBack on my TorS platform and look at your example