All Questions
78 questions
1
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1
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380
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What is the other type of impact of dividends on the stock price in this formula?
Excerpted from Marek Musiela and Marek Rutkowski's Martingale Methods in Financial Modelling, Second Edition.
I think I understand formula 3.71: paying cash dividend $\kappa_j$ at time $T_j$ will ...
- 913
5
votes
2
answers
4k
views
call vs put open interest
I have been observing the data for US stock options.
In general, it seem like there are more open interest for call rather than for put, is there a reason people like to write more call?
at the ...
- 101
0
votes
1
answer
920
views
How come SNAP does not have option chain?
I want to buy put options on the newly issued SNAP stock (Snapchat).
How come the option chain is still empty? it's been a few days since the IPO.
- 161
0
votes
2
answers
325
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When a stock's price could suddenly drop to zero before expire. does black-scholes misprice the option? Too high or Too low?
Quantitative Question – BLACK SCHOLES
Consider a call option on a stock. Assume that Black-Scholes prices the option correctly if all of the assumptions of Black-Scholes hold true. Assume in addition ...
3
votes
1
answer
1k
views
Option on index vs option on index future
Cash-settled options on the S&P 500 index existed before options on futures on that index. Where would the demand for options on futures have come from prompting the exchange to begin listing them,...
3
votes
1
answer
1k
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Why buy/sell a forward starting option?
More precisely, in equity markets, why would one prefer to buy a forward starting option over a vanilla option ? What about the selling side ?
- 165
0
votes
2
answers
288
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trading equities on options feed/microstructure data
Obviously, not asking for a trading strategy, but do people successfully use options feed/microstructure data to trade equities intraday? What's the general framework for such strategies?
- 1,549
2
votes
0
answers
84
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Capital increase: which stock price to use as input to Black-Scholes formula?
For an exercise we have to calculate the theoretical value of a scrip / preferential right on its issue day (23 April) in the context of a capital increase. The scrips are issued on 23 April. The ...
- 21
1
vote
1
answer
468
views
Put-on-call option confusion
So the question asks: Given a 3-steps Binomial Tree model with $S(0) = 50$, $U = 20%,D = 20%$, and $R = 5%$. A European call option has the strike price $X = 40$ and maturity time $T = 3$. Also, a ...
- 171
0
votes
1
answer
17k
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Replication strategy of European call option
So the question asks: L et $S(0) = 120$ dollars, $u = 0.2$, $d = −0.1$ and $r = 0.1$. Consider a call option with strike price $X = 120$ dollars and exercise time $T = 2$. Find the option price and ...
- 171
1
vote
1
answer
417
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Potential Arbitrage profit or proof problem
So the question asks: Consider 4 following European call and put options with the same maturity time:
Call option with strike price $100$ sell for $45$
Call option with strike price $110$ sell for $...
- 171
2
votes
1
answer
1k
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VAR of portfolio containing options, equities and forwards
If we want to calculate VAR of a portfolio using variance covariance matrix (delta normal method), containing equities, forwards and options, how do we treat each asset class for making the variance ...
user18663
0
votes
1
answer
3k
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Notional Value in Equity Options
I have calculated the NPV of an Equity option and need to account the notional for it and have issues understanding the NPV <-> notional relation.
Example:
Strike price 100
Spot rate: 107.41
NPV ...
- 3
2
votes
1
answer
185
views
PPPN: premium with real market data
A few days ago, I posted a question about PPPN's (partially principal protected notes), which can be found here:PPPN: participation rate, stocks and premium.
A PPPN in short is a structured product ...
- 143
1
vote
0
answers
37
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Financial Derivative, European Option [closed]
Market Prices for European put and call options on ABC stock are as below:
Call = $4.5
Put = $6.8
Exercise Price, X =$70
Risk Free Annual Compounded rate r = 5%
Time to expiration T = 139 days
...
- 31
1
vote
1
answer
253
views
Where do Over-allotment (Greenshoe) option shares come from?
I'm just wondering, if following an IPO the share price goes up and the underwriter calls the option, where do those extra 15% shares come from?
Does the company have to issue more stock to cover the ...
- 113
1
vote
2
answers
4k
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Difference between Closing Price, Last traded price and Settlement Price for option contracts?
What is the difference between Closing price, Last traded price and settlement price ?
I got the difference between Closing Price and Settlement price from previous post :
The difference between ...
- 2,248
-6
votes
1
answer
135
views
Can not understand options pricing [closed]
As we are seeing here http://www.theoptionsguide.com/strike-price.aspx
Relationship between Strike Price & Call Option Price
Relationship between Strike Price & Put Option Price
I do not ...
- 99
0
votes
1
answer
197
views
finding the strike / maturity of warrants given their ISINs
I have a list of French traded warrants identified by their ISINs. I do not know, however, to which stock they refer and what is their strike/maturity.
Which datasets allow me to retrieve this ...
- 133
1
vote
1
answer
337
views
Why doesn't Variance-Gamma process flatten volatility skew for short term options?
The Variance-Gamma (VG) process, from my inexpert point-of-view, seems to nearly perfectly model equity distributions.
For longer term options, there is little to no volatility, skewness, or kurtosis ...
user6500
1
vote
1
answer
586
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Selling an American call option early
I understand it is never optimal to exercise an American call option early. [1] [2] However, here are my two contradictory thoughts about selling an American call option early.
Assumptions
I can ...
- 113
1
vote
3
answers
267
views
Are power contracts traded on any stock market?
Are power contracts traded on any stock markets ? What about OTC markets ? I ask about the derivatives where payoff is some exponential function of difference between strike and spot price.
- 1,018
0
votes
1
answer
546
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Where can I get real-time equity options quotes for a reasonable price (i am not a company) besides screen scrapping Yahoo! Finance? [duplicate]
Want to have electronic access to equity options quotes in real-time. Is there anyone offering this service to the individual investor for a reasonable price? Again it must be electronic, in other ...
- 117
2
votes
1
answer
254
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OTC Equity Options' Dynamics
This only applies to options that do not have marketable equivalents since margin can be marked to them.
I've never been able to find this on my goog.
How is margin typically calculated for OTC ...
user3232
6
votes
1
answer
2k
views
Science behind options pricing into Earnings event
I am wondering about studies regarding the uncanny options pricing into public company's earnings reports.
The phenomenon being that the price of a straddle before earnings costs near exactly the ...
- 1,872
6
votes
2
answers
938
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In a covered call strategy, should I hold the call or sell/roll if the delta becomes too small?
I am tweaking a covered call algorithm. The short leg consists of out of the money call options. The goal is to collect the tim premium, but an equally favorable circumstance is when the call ...
- 1,872
21
votes
4
answers
9k
views
How to solve for the implied stock lending rate given equity options prices?
When market makers price options on hard-to-borrow equities, they include the cost to borrow the underlying equity that their broker is going to charge them to sell the security short to hedge. I'm ...
- 513
17
votes
3
answers
622
views
How do you characterize dividends for equity options?
While many systems like to treat dividends as a continuous yield when pricing equity options, it works quite poorly for short-dated options.
In the short run, deterministic dividends are clearly the ...
- 15k