Option Price

[raf_bcn]

No, it is pricing in a range of $1.80, not 3.60. And, I have no idea where you got that probability from.

A +/- 1.80 is a 3.60 range. From - 1.80 to + 1.80. But I may be confused about the english term to describe it. Sorry.

Do you think the probabilities I gave are wrong, why? I gave them grosso modo, of course.

You are also making this way too complicated.

I don't think they are wrong. I only want to know what is the logic behind their atm option pricing . Like a manufacturer that sells his product knows exactly what are the cost and what are his profit margin . Why the market makers, manufacturers, are pricing the options like they do.

It is not a question to win, it is only to think.

 

[OptionsOptionsOptions]

Thanks.
I suspect you know that. Can you give me a clue.

• Below is plus/minus over 1% on expiry day - not including today.
• SPY ATM straddles/strangles entered one day before expiry would end up losing over the year.

 

[spindr0]

Thanks.
I suspect you know that. Can you give me a clue.

For last year's expirations, 25% of the time, the SPY move up or down more than 90 cents, This year it's 72%

As for accuracy, I am right 92% of the time and the remaining 27% of the time, I have no clue

 

[OptionsOptionsOptions]

And since most of the SPY pre-expiry moves have been up it might be best to buy only the ATM calls.