Ann: Loyalty and Piggyback Options Program, page-261

Depending on expected volatility between 8c and 16c would be reasonable. If I am to acquire additional options on market though I would prefer them to be undervalued as there is a high risk associated with the purchase of them. They go to zero in a year if the heads aren't over 65c, which whilst I don't think will be an issue as this should be trading substantially above $1 by this time next year, is still possible due to the fact that Feb 2026 will be prior to the initial readout. As such I am hoping to see them open below those prices, at least if I am to purchase any additional options. This is likely why there is still plenty of demand for the heads and why I doubt there would be many investors willing to swap their heads for options - it would be terribly unfortunate to have your options expire worthless just before a positive readout sends the price to $2!

Here is a table of expected option values based on various estimations of volatility (along the top of the table) and share prices (along the first column). The share price bit is easy, though expected volatility is up to you to decide. Conventional wisdom states you use historic volatility - but with a stock like this historic volatility is very unlikely to equal future volatility (not like it would for CBA etc)