I don't expect a response to this, but thought I would put it out there.
When using the ASX Margin Estimator, which has little explanatory notes that I can find, I can use the Black-Scholes model to calculate "deemed/theoretical" prices that match up when there is no upcoming dividend. I think I can see how the European ETOs are calculated to account for the next dividend, as it seems they just subtract the expected dividend from the current/underlying share price which I'll show with the example below. However, I don't understand at all the method used for American ETOs when there is an upcoming dividend as the dividend yields seem unrealistic.
I have used an online BS calculator for the example below and all that I have found give the same results. I'm using some FMG calls as there is an upcoming dividend with the exact ex-date to be announced on 28/8, so probably not affecting the 31/8 expiry. But to begin here are some results from the ASX Margin Calculator screenshot taken this morning (22/8/23):
So the FMG European/American calls for expiry 31/8 have 9 days remaining and no dividend yield for this result which almost matches up with the ASX results.
Then, using a current share price of $19.47 can be found by subtracting the ASX div1 amount, ie. 20.42 - 0.95 = 19.47. It's 30 days to 21/9/23 expiry and then assuming no dividend as it has been accounted for in the adjusted share price, I get this result that matches the ASX price for the European call FMGYN9 above.
Finally, I have to use a dividend yield of about 38% to get the result matching the ASX's price American call for 21/9/23 FMGEG7. This equates to an annual dividend of $7.75!
