Extrinsic value for itm calls in american style FOPs. Question.

[raf_bcn]

Hi

The ITM calls in american style options are supposed to have a higher extrinsic value than the same strike puts.
this extra value cames from the interest component and also, I am not sure, from the early assignment risk. Please correct me.

But this doesn't happen with american style FOPs. An itm /es call has less extrinsic value than the same strike put. Or it seems to me.
What can be the explanation for that ?

Thank you.

 

[Robert Morse]

Can you provide a current example with a screenshot including the futures price? I'm not follow your question.

 

[2rosy]

vol skew. probably higher implied for puts than calls. chances of a crash are higher than a spike

 

[raf_bcn]

Hi

yes of course.

ES Sep, 17 dte. is at 2893.00

2875 call mid. 35.75 so intrinsic is 18.00 and extrinsic is 17.75

2875 put mid. 17.80
Why the call has no extra extrinsic value? like in american style equity options.

thanks

 

[Robert Morse]

It looks like it is all lined up to me or close enough. 2893 + 17.80 - 35.75 = 275.05 THat is very close to the 2875 strike price. That is the way it should be.

 

[raf_bcn]

Yes, it is allways that way.
I didn't expressed tha question right. It is a general question.
I am asking why the itm calls are priced that way in FOPs, which is very different than in equity options. But the two are american style.

I have heard a lot of times that american style itm calls must have more extrinsic value than the same strike puts. But this doesn't happen in Fops.

A conversion is very different in FOPs than in equities. And the differnce it seems to be in the itm call.
It is because of the underlyings ? one is spot and the other is forward. But also in stocks or ETFs the itm call is priced with the forward, so I don't know where that difference comes from.

 

[sle]

Yes, it is allways that way.
I have heard a lot of times that american style itm calls must have more extrinsic value than the same strike puts. But this doesn't happen in Fops.

Because futures do not pay dividends. Early exercise makes sense only if you are going to get something something now that you would not get later (lot's of things in life are like that).