Chapter 34: Futures and Futures Options 675 
In reality, where deeply in-the-money or longer-term options are involved, this 
simple formula is not correct. However, for most options on a particular nearby 
futures contract, it will suffice quite well. Examine the quotes in today's newspaper 
to verify that this is a true statement. 
A subcase of this observation is that when the futures contract is exactly at the 
striking price, the call and put with that strike will both trade at the same price. Note 
that in the above formula, if one sets the futures price equal to the striking price, the 
last two terms cancel out and one is left with: Call price = Put price. 
One final observation before getting into strategies: For a put and a call with the 
same strike, 
Net change call - Net change put = Net change futures 
This is a true statement for stock and index options as well, and is a useful rule 
to remember. Since futures options bid and offer quotes are not always disseminat­
ed by quote vendors, one is forced to use last sales. If the last sales don't conform to 
the rule above, then at least one of the last sales is probably not representative of the 
true market in the options. 
Example: April crude oil is up 50 cents to 19.24. A trader punches up the following 
quotes on his machine and sees the following prices: 
Option 
April 19 call: 
April 19 put: 
Last Sale 
0.55 
0.31 
These options conform to the abo~rule: 
Net change futures = Net change call - Net change put 
= +0.20 - (-0.30) 
= +0.50 
Net Change 
+ 0.20 
- 0.30 
The net changes of the call and put indicate the April future should be up 50 
cents, which it is. 
Suppose that one also priced a less active option on his quote machine and saw 
the following: 
Option 
April 17 call: 
April 17 put: 
Last Sale 
2.10 
0.04 
Net Change 
+ 0.30 
- 0.02