Calculating options prices

stepandfetchit said:
I think the IV IB is providing is close enough. I did a calculation for the ATM IV about the time of entry and found my computed value very close to your IB value, so don't think the issue with the gross error is the IV. (so the sheet below is using your values, not calculated IV) As a test, I grabbed an Excel sheet from the web, which provided BSM and just plugged in your values for the following day (where you expected the value of the option to not match your expectations). I found the value to be within 1 penny. Let me know if I missed something! Note: you may not be accounting for time. -- I track time to nearest minuite, which may be the issue. Also, I use the nearest term LIBOR data for interest rates. Below is the excel sheet with the data for yesterday, but using the IV numbers IB provided you!

Link to this Excel sheet on the web: "https://excelatfinance.com/xlf/black_scholes.php"
For Stock (price) I entered 16.52,
for exercise 18
for Rate: 0.15459954422709% <-- you can round it (this was copy/paste)
Sigma: your number of 96.6%
Time: =8.14236111111111/365.25
The calculated Put price was 1.90, where you observed 1.89 which may be close enough for government work.
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Thank you again stepandfetchit.

I'm sorry I didn't reply earlier, but I very much appreciate the information you have provided. I am also humbled, as I clearly see I still don't know nearly as much as I thought I did. haha

I'm going to go over this more this week to better understand it. I'll do manual calculations to compare against the IB numbers since IB seems to be accurate, and that should help me better understand how these should move. I want to try to buy the best options for my trade, so that when the underlying equity makes a move, I want my option to get the most out of that. I'm assuming at the moment that it's likely what you said, that I may be missing something with the time factor.


Thanks again!
 
I just wanted to follow up one last time and say that I've been tracking some options over the last 4 days, and the calculations I'm coming up with using the formulas and IB's values are pretty much spot on, give or take a penny, which is good enough for me.

I think I have it worked out now. I appreciate everyone's help and input.

Thanks!
 
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