At the current levels CPCO is valued at 0.191548 according to Black-Scholes. With expiry for the call on 31/03/2007 and the potential for this one to be way higher than the 0.25 strike price, I think this presents very good value. It is deep in the money with a delta of 0.89782 and volatility is considerably low with a gamma value of 57.003%.
The underlying cannot keep running, I own the underlying and my plan is to take profits tomorrow, and good profits at that and then wait for the underlying to come off and consolidate and then snap up the option under 0.19.
For those of you that are risk adverse, the underlying is still a great opportunity, probably one of those once in a bear market opportunities.
IF ANYONE CAN TELL ME HOW TO UPLOAD PICTURES THEN I WILL POST ALL MY BLOOMBERG DATA SHEETS AND CHARTS.
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This is not financial advice and is only intended to be general advice. Please contact your financial adviser before considering an investment in CPC or any other stock.
CPC
carpenter pacific resources limited
cpco black-scholes pricing
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