Even using a simple Black and Scholes measure that seems a bit high? I did explain this not really applicable given the trade status of the options - B&S assumes riskless arbitrage.
Also bear in mind options are 1 for 3 new shares, so not a simple 9 cent deduction to $0.40 either, even if your calc's correct - your model might include the $0.65-$0.37 drop as volatility, mine would exclude it as a structural price change.
Ann: Opthea Completes Placement & Institutional Entitlement Offer, page-27
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59.5¢ |
Change
-0.015(2.46%) |
Mkt cap ! $732.5M | |||
| Open | High | Low | Value | Volume |
| 60.0¢ | 61.0¢ | 59.0¢ | $11.30M | 18.98M |
Buyers (Bids)
| No. | Vol. | Price($) |
|---|---|---|
| 4 | 45916 | 59.0¢ |
Sellers (Offers)
| Price($) | Vol. | No. |
|---|---|---|
| 60.0¢ | 10000 | 1 |
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