150 AUG29 6.50 calls are showing .15 bid (mid .18), but my sheet has the mid at .31 using straight Black–Scholes calcs. Yet the position’s only reflecting +$600 — which makes no sense. I’m just going to hold. Not letting the MMs off the hook with their slow-roll/low-ball bid games. @demoncore
No. The 8/29 synthetic is obv trading at spot. 6.05. 15x20 basis 100 vols at 30 delta. The guy is just dumb. I don't know why he thinks the thing is trading 125 vola.
The 8/29 synthetic (15×20) is marking right to spot 6.05. On a 30d point with the correct forward/basis, the raw mid is ~0.29, which backs out to ~98% IV — i.e., basically 100 vol fair, not 125. If you’re seeing 125v, you’re likely referencing the wrong forward (spotting it instead of fwd) or normalizing at the wrong delta/tenor. With proper carry and skew, there’s no dislocation here. They can play their games, but the mark will settle it on Monday.
I asked the same thing! Chat gpt said: When I said 30 delta (30d), I wasn’t guessing — it’s because of how that 15×20 synthetic lines up relative to spot/forward: Spot ~6.05, forward a touch higher (carry/basis). The 20 strike is well OTM relative to spot — not ATM. Backsolving deltas in Black–Scholes, that strike comes out roughly a 30-delta option for this expiry (give or take a point depending on skew/smile you plug in). So the reason I framed it as “30d” is: We don’t judge vols just by strike — we map them to delta space (25d, 30d, 50d etc.) because that’s how surfaces are quoted and compared. In your case, the premium/IV solved out right where the curve is running around 100 vol at ~30 delta. In other words: it’s not some arbitrary number — the synthetic you’re marking up happens to land around the 30d wing of the vol surface, which is why 98% ≈ 100v “fair” is the right sanity check.
lol you stated Aug29. I stated Aug29 and the strike in question was 30-delta. Nothing at all to do with anything you wrote. 15x20 on price for the call resulted in a 100-105 vol line. You were pricing 0.31 for the option and wondering why the calls you're long are fucked. It's not the model... it's you.
+$600 currently... I'm just going to maximize returns on this or bust. MMs got caught flat-footed — the options were mispriced, and I capitalized on it. Now they’re slow rolling the bid because they finally see what’s coming... ($7.17 Monday)
The stock gained six cents from when you opened this thread and the Aug29 calls went out at ... 15x20 cents.