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At 110, the options are 10c ITM.Expiry is 5 months awayThe...

  1. finindi
    179 Posts.
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    25/05/07
    11:20
    Post #: 2480903
    At 110, the options are 10c ITM.

    Expiry is 5 months away

    The implied volitility must be up around 70 or so.
    Delta at 10c ITM is around 60%

    Therfore for each 10c increase in the heads, the oppies should rise by 6 cents.

    Therefore I place fair value with heads at 110 at around 45c
    RRS Price at posting: 0.0¢ Sentiment: Buy Disclosure: Held
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    lightbulb Created with Sketch.  Great analysis
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