option pricing question - CAC40

Discussion in 'Options' started by adamchubb, Apr 6, 2010.

  1. i'm looking at the option price of CAC40. hope someone could have an answer:

    CAC40 index @4051 now

    Apr 16 ATM option
    4050 call @43.7 - IV 15.5%
    4050 put @41.5 - IV 15.5%

    May 21 ATM option
    4050 call @60.0 - IV 16.9%
    4050 put @131.8 - IV 14.9%

    does anybody have a clue why the May ATM put is about twice as expensive as the ATM call?????
  2. got the answer....because of dividends
  3. jamesbp



    Index Options such as CAC and FTSE are priced off the futures / synthetic futures price for the relevant expiry month.

    The above prices imply a futures price of 4052 for April and 3978 for May.

    The futures price is calculated as Underlying Price + Interest - Dividends and can be approximated as being Strike Price + Call Option - Put Option.

    Given the relatively low level of interest rates, many of the stock index futures are trading at discounts to the underlying price due to the dividend adjustment.

    Hope this helps