Why are C calls so cheap?

Discussion in 'Options' started by turkeyneck, Jan 22, 2008.

  1. All the C Mar and Jun OTM calls are selling way below theo value. What gives?
  2. The conversion market is accurate using 3.90 and .66 for last sale on the 27.50 strike for March. Perhaps you're valuing the calls with a higher risk-free rate.
  3. I'm using everyting default on OX's pricer.
  4. Since C is listed on 6 exchanges and has many mm's at all 6 places making prices I am inclined to go with their prices over your theoretical value calculation.
  5. rjv27


    Options are not my speciality, but maybe something to do with the Ex Div Date 01/31/08
  6. Pretty sure the vol is not right. Everytime I've used OX it has yielded diff results than TOS.
  7. They're pricing in the 31 ct dividend for 1/31

    If you check the "Include Dividends" box at OX, the IV of the calls will be in line with that of the puts.
  8. Everything is still below theo value even when you include dividend.
  9. Everything is below what you believe theoretical value is, not what the market has as theoretical value.
  10. MTE


    Do you really think that with the single volatility value that you put in or is there as default you are gonna get theoretical values that the market is pricing in!?
    #10     Jan 23, 2008