Add training workflow, datasets, and runbook
This commit is contained in:
@@ -0,0 +1,63 @@
|
||||
684 Part V: Index Options and Futures
|
||||
pattern. Mispricing is, of course, a statistically related term; it does not infer anything
|
||||
about the possible validity of takeover rumors.
|
||||
A significant amount of discussion is going to be spent on this topic, because the
|
||||
futures option trader will have ample opportunities to see and capitalize on this mis
|
||||
pricing pattern; it is not something that just comes along rarely. He should therefore
|
||||
be prepared to make it work to his advantage.
|
||||
Example: January soybeans are trading at 583 ($5.83 per bushel). The following
|
||||
prices exist:
|
||||
Strike
|
||||
525
|
||||
550
|
||||
575
|
||||
600
|
||||
625
|
||||
650
|
||||
675
|
||||
January beans: 583
|
||||
Call
|
||||
Price
|
||||
191/2
|
||||
11
|
||||
51/4
|
||||
31/2
|
||||
21/4
|
||||
Put
|
||||
Price
|
||||
Suppose one knows that, according to historic patterns, the "fair values" of these
|
||||
options are the prices listed in the following table.
|
||||
Strike
|
||||
525
|
||||
550
|
||||
575
|
||||
600
|
||||
625
|
||||
650
|
||||
675
|
||||
Call
|
||||
Price
|
||||
191/2
|
||||
11
|
||||
53/4
|
||||
31/2
|
||||
21/4
|
||||
Call
|
||||
Theo.
|
||||
Value
|
||||
21.5
|
||||
10.4
|
||||
4.3
|
||||
1.5
|
||||
0.7
|
||||
Put
|
||||
Put Theo.
|
||||
Price Value
|
||||
1/2 1.6
|
||||
31/4 5.4
|
||||
12 13.7
|
||||
28 27.6
|
||||
Notice that the out-of-the-money puts are priced well below their theoretical
|
||||
value, while the out-of-the-money calls are priced above. The options at the 575 and
|
||||
600 strikes are much closer in price to their theoretical values than are the out-of
|
||||
the-money options.
|
||||
Reference in New Issue
Block a user