Hi Guys ... as above H/Vols coming off and reflecting in I/Vols...

Hi Guys ... as above H/Vols coming off and reflecting in I/Vols ...

For NCP1E $11.50 Calls 29/05/04 I have the following I/Vols.

11/04/03 42.25%
14/04/03 42.00%
15/04/03 42.00%
16/04/03 40.00%
17/04/03 38.00%
18/04/03 holiday
21/04/03 holiday
22/04/03 38.50%

The 17/04/03 saw a combination of drop in NCP underlying and I/Vol to 38.00% for NCP1E translating into a nasty gap on that day for holders.

Last today $0.39 ... had 42.25% I/Vol held then FAIR VALUE equals $0.444 .. a modest difference.

Cheers ...


This is only my view .. read the red stuff.