Help: LVS Jan 2011 $5 strike leap call price issue

Discussion in 'Options' started by fencerd4, Apr 23, 2009.

  1. fencerd4


    WTF is going on with this option? the delta is only .03 lower than the 2.5 strike, but it only went up 10 cents today while the 2.5 went up by 70c, and the 7.5 strike went up by 25c. Can anyone explain this?
  2. spindr0


    Closing quotes are unreliable because the last trade in a low volume option may have occurred some time before the last trade in the stock and may not represent accurate quotes.

    Also, last trades can be at the bid, ask or in between so that too will artificially affect the appearance of movement in options with wide spreads. Check them all out in real time and things may look more realistic.
  3. fencerd4


    thanks for the reply, but can someone price what the true value of the jan 2011 5 strike call is worth at this moment? Stock's trading at 6.4 at the moment and I bought the calls at for $2.5 each.
  4. 'What it's worth' is very dependent on your volatility estimate.

    I believe the answer to the question you are really asking is: It's worth about the average of the bid price and the ask price.

  5. spindr0


    What the true value of the jan 2011 5 strike call is worth at this moment depends on how you define worth. To a more sophisticated trader, over/under value might be the answer. To a less sophisticated trader, it might be as simple as what you can selll it for which is the bid.
  6. fencerd4


    I am not new to this, but don't you guys find it odd that the 5 strike only moved up 10c today?
  7. Once again - closing prices mean nothing. Less than nothing.

    When you want to know the price of an option, look at the current bid and ask prices. If they change, then the option prices has changed.

    Keep in mind that an option's price is very dependent on the implied volatility. Thus, calls can decline when the stock rallies. It does happen.

  8. spindr0


    Do you understand that it's possible that the change for the day for closing quotes may be inaccurate if the last trade in the option occurred before 4 PM?