The Intelligent Investor’s Guide to Option Pricing  •  55
would be more expensive than the following put option, which looks like 
this:
5/18/2012 5/20/2013 249 499 749 999
-
10
20
30
40
50
60
70
80
90
100
Advanced Building Corp. (ABC)
Date/Day Count
Stock Price
GREEN
The former would be more expensive than the latter simply because the 
range of exposure for the first lies further within the BSM cone of prob-
ability than the latter.
We can extrapolate these lessons regarding calls and puts to come 
up with a generalized rule about comparing the prices of two or more op-
tions. Options will be more expensive in proportion to the total range of 
exposure that lies within the BSM cone. Graphically, we can represent this 
rule as follows:
This call option will be much less 
expensive…
GREEN
GREEN
than this call option.