158  •   The Intelligent Option Investor
For Mueller Water, it’s a little trickier:
2.5
5
7.5
10
Last
C5.30
C2.80
0.55
C0.00
Change BidA sk Delta AUG 16 ´13
2.5
5
7.5
10
NOV 15 ´13
2.5
5
7.5
10
12.5
FEB 21 ´14
DescriptionCall
Last Change BidA sk Impl. Bid Vol. Impl. Ask Vol.Impl. Bid Vol. Impl. Ask Vol. Delta
Put
C0.00
C0.00
C0.25
C2.25
C0.00
C0.00
C0.55
C2.35
C0.00
C0.10
C0.85
C2.55
C4.80
5.20 5.50N /A 340.099% 0.9978
0.9978
0.7330
0.1316
0.9347
0.8524
0.6103
0.1516
0.9933
0.9190
0.6070
0.2566
0.1024
142.171%
46.039%
76.652%
N/A
N/A
2.95
0.55
0.10
0.20
0.10 N/A
N/A
N/A
0.10
0.30
2.35
40.733%
N/A
N/A
N/A
N/A
36.550%
38.181%
35.520%
35.509%
35.664%
2.10
0.50
0.05
0.10
0.60
2.402.30
0.05
0.15
0.15
0.85
2.60
4.90
2.70
0.500.00
5.20 5.50
3.00
0.90
0.20
2.80
0.80
0.10
5.505.10
3.102.85
1.151.05
0.400.30
0.200.05
39.708%
N/A
N/A
36.722%
N/A
38.754%
38.318%
39.127%
36.347%
36.336%
292.169% 0.0000
-0.0000
-0.2778
-0.8663
-0.0616
-0.1447
-0.3886
-0.8447
-0.0018
-0.0787
-0.3890
-0.7375
-0.8913
128.711%
53.108%
88.008%
117.369%
60.675%
42.433%
44.802%
110.810%
50.757%
42.074%
43.947%
49.401%
163.282%
75.219%
42.610%
45.215%
122.894%
64.543%
42.697%
44.728%
50.218%
C5.30
C2.80
C0.85
C0.10
C5.30
C1.10
C0.35
C0.10
3.00 +0.15
0.70
2.45
4.60
In the end, I would probably end up picking the implied volatility 
associated with the options struck at $7.50 and expiring in August 2013 
(26 days until expiration). I was torn between these and the same strike 
expiring in November, but the August options are at least being actively 
traded, and the percentage bid-ask spread on the call side is lower for them 
than for the November options. Note, though, that the August 2013 put 
options are so far OTM that the bid-ask spread is very wide. In this case, 
I would probably look closer at the call options’ implied volatilities. In the 
end, I would have a bid volatility of around 39 percent and an ask volatility 
of around 46 percent. Because the bid-ask spread is large, I would probably 
want to see a cone for both the bid and ask.
Plugging in the 22.0/22.5 for Oracle,
2 I would come up with this cone:
Date
Oracle (ORCL)
Price per Share
60
40
50
30
10
20
-
6/21/201612/24/20156/27/201512/29/20147/2/20141/3/20147/7/20131/8/20137/12/2012