Hi greedygekko,
Interesting numbers.
I used the Hoadleys Option Graph (Black & Scholes)
Admittedly its often used for pricing warrants.
However, some similar circumstances compared to an ETO of pricing.
1) 148 days till expiry (Only weekdays)
2) Interest rate @ 8.00%
3) Volatility 70% (as its a spec stock)
4) Strike .10 cents
5) FDL Current price .11
According to that FDLOA should be close to .026 cents with a
52.5% Probability of being in the money come expiry date.
Stock Price Analysis
Stock Price Warrant Price Time Value
0.05 0.001 0.001
0.06 0.002 0.002
0.06 0.003 0.003
0.07 0.006 0.006
0.08 0.009 0.009
0.09 0.014 0.014
0.10 0.019 0.019
0.11 0.025 0.016
0.12 0.031 0.013
0.13 0.038 0.011
0.14 0.045 0.010
0.14 0.053 0.008
0.15 0.061 0.007
Snapshot Calls Puts
Price 0.026 0.012
Delta 0.695 -0.305
Gamma 7.133 7.133
Theta 0.000 0.000
Vega 0.000 0.000
Rho 0.000 0.000
Elasticity 2.99 -2.71
Position ITM OTM
Probability of closing ITM 52.5% 47.5%
I only use it as a bit of a guide when playing with the options.
Therefore, according to them it needs to come down a fair bit before its recognising fair value.
However, if you look at the stock price between .13 - .15 there is a vast difference in the option price.
IMO, that is where the games will be played.
If you can get them in the low .3s then i think that is pretty fair value.
Cheers markco2
FDL
flinders diamonds limited
