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rrs...rrso...disparity, page-4

  1. ds
    7,131 Posts.
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    23/01/06
    09:57
    Post #: 1331655
    http://www.tradingtoday.com/black-scholes

    pretty simple calcs t4p

    RRS @ 3.5c close , 640 days , rfr 5% & vol of 100% gives RRSO @ 1.5c

    note 100% vol is less than the 110% used in the AR to value options and less than the 110% verified as the implied vol for 1yr in Bloomberg. If we throw in 110% we get 1.64c

    I'm happy with 100% vol as a guide and the differential is spot on IMHO.
    RRS Price at posting: 0.0¢ Sentiment: None Disclosure: Not Held
    Likes Created with Sketch.  Upvote
    lightbulb Created with Sketch.  Great analysis
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