Thats right, Black Scholes appears to be the correct formula for pricing options, but it is worse than useless in the case of OPTOA/B.
But the sigma, volatility is basically a guess, as we really just don't know the expected Volatility, given the binary nature of the trail and the importance of this value we really only can guess.
If we have volatility set to 70% then the price is 8cents for OPTOB. Change that to what we have seen since the CR and we get 0.02cents (SFA).
If we use Bi-Modal outcomes , given a $2.20 valuation if success and 5cents if failure with a split of 70:30 success/failure then we get OPTOB worth $1.01 .
it is abundantly obvious that nobody would pay $1.01 for OPTOB when the root stock is trading for $0.43cents. So Black Scholes less than helpful.
Simple Game theory would be better in this case:
So abundately clear that both OPT and OPTOB are undervalued on todays market, if we accept at success OPT of $2.20 and failure of 5cents.
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Last
87.5¢ |
Change
-0.035(3.85%) |
Mkt cap ! $1.077B |
Open | High | Low | Value | Volume |
92.0¢ | 94.0¢ | 87.0¢ | $3.470M | 3.834M |
Buyers (Bids)
No. | Vol. | Price($) |
---|---|---|
3 | 5491 | 87.5¢ |
Sellers (Offers)
Price($) | Vol. | No. |
---|---|---|
89.0¢ | 23622 | 1 |
View Market Depth
No. | Vol. | Price($) |
---|---|---|
3 | 5491 | 0.875 |
10 | 104109 | 0.870 |
4 | 39500 | 0.865 |
1 | 10000 | 0.860 |
1 | 2000 | 0.855 |
Price($) | Vol. | No. |
---|---|---|
0.890 | 23622 | 1 |
0.895 | 23622 | 1 |
0.900 | 43935 | 2 |
0.920 | 392153 | 4 |
0.925 | 10000 | 1 |
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