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