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Let's say for instance I wanted to do sell OTM calls on stocks I thought had very little chance of breaking into new highs etc . . Can I be early exercised when the stock price is still below the strike. That wouldn't make to much sense . . but I'd rather be sure. Correct me if I'm wrong...

I'll look at it again . . weird if it's working for you.

anybody?

Batman28?

FA, Sounds like you have a pretty nice component there. I started out on the same track as you, with TS. Still use it to check sometimes. You can't beat the charting and data there. But you are right it limits what you can do as far as automation and so forth.

Yeah this program looks like it's used on very large amounts of data and is more than likely just part of a project that does something more complex such as real time option pricing or maybe perhaps some kind of automated arbing??? FA, You never told us where/how you declared the...

and the corresponding futures contracts?? Are we having trouble selling those too OZ?

Thanks for the info . . . looks good. Don't get me wrong, i may have overlooked this, but I don't see where volatilitydays was ever declared. Let me know if my head's in the sand. I want to post something when I get done.

Ok. SO what you're saying is that I could use the 365 although my volatility and therefore theoretical option prices would be different? Did you see that I was lost on the volatility days? Isn't really the length of the close array, closeData.length? the method call dfc.getCloseData()? Is...

Why when we're looking at volotility we are using 252 days and when we look at T in as in time until expiration with use a full year?

the variable volatilitydays in the above posted java code: is it declared? I'm assuming that it's the number of days that you want to find to hist. vol. for? am I right?

To note: I have the 6.5 version as compared to the new 7.3.

Batman - my file is not working correctly. Let me post it to see if you can catch what is happening. One thing that is really annoying is that the scroll bar does not allow the user to scroll right now. Anytime you place the mouse cursor over the sb, it just goes into that resize mode...

IV : isn't this when the actual market price of an option is used to imply a theoretical volatility to a stock as opposed to the historical volatility.

Cool. I actually already looked at that page.. .. didn't really help out though . . . This is what I got : the daily open, high, close of stock X for a given period time. Do I take the the daily changes in price(today's close - yesterday's close) and simply find the std dev?

Batman - great thread . . . Where did you jump for the BScall to this Eurotrash(kidding). I followed along but then got lost b/c I thought we were inserting a scroll bar into the original BScall workbook???? I d/led this european call sheet though . . .it didn't work for right off . ...

After some further reading . . . essentially what I'm asking is how to find the underlying volatility, right?

Thanks Chabah for clearing it up. I thought either it's what you said or that you had used data on 4k different issues. What software are you using to run the test?

I was just in another thread . . . http://www.anthony-vba.kefra.com/vba/vba13.htm great site . . .basically teaches or re-teaches you how to work with Excel . . . .

Hi guys . . got a simple question about pricing an option . . . got a link for you, I'm trying to replicate BS in MatLab so here's the link: http://www.anthony-vba.kefra.com/vba/vba13.htm My question is specifically about the equation for sigma: What does it mean for growth rate of...