Why are C calls so cheap?

turkeyneck · Jan 22, 2008

All the C Mar and Jun OTM calls are selling way below theo value. What gives?

atticus · Jan 22, 2008

The conversion market is accurate using 3.90 and .66 for last sale on the 27.50 strike for March. Perhaps you're valuing the calls with a higher risk-free rate.

turkeyneck · Jan 22, 2008

I'm using everyting default on OX's pricer.

dipper17 · Jan 22, 2008

Since C is listed on 6 exchanges and has many mm's at all 6 places making prices I am inclined to go with their prices over your theoretical value calculation.

rjv27 · Jan 22, 2008

Options are not my speciality, but maybe something to do with the Ex Div Date 01/31/08

thegazelle · Jan 22, 2008

Pretty sure the vol is not right. Everytime I've used OX it has yielded diff results than TOS.

spindr0 · Jan 22, 2008

All the C Mar and Jun OTM calls are selling way below theo value. What gives?

They're pricing in the 31 ct dividend for 1/31

If you check the "Include Dividends" box at OX, the IV of the calls will be in line with that of the puts.

turkeyneck · Jan 23, 2008

Quote from spindr0:

They're pricing in the 31 ct dividend for 1/31

If you check the "Include Dividends" box at OX, the IV of the calls will be in line with that of the puts.

Everything is still below theo value even when you include dividend.

dipper17 · Jan 23, 2008

Everything is below what you believe theoretical value is, not what the market has as theoretical value.

MTE · Jan 23, 2008

Quote from turkeyneck:

Everything is still below theo value even when you include dividend.

Do you really think that with the single volatility value that you put in or is there as default you are gonna get theoretical values that the market is pricing in!?