bidu call question# Stocki*o2010-10-22 07:101 楼stock price up about 5%Dec 2010 OTM calls( K > 120) price down 10% or more....Why did this happen? Thanks!
m*02010-10-22 07:102 楼嗯。【在 i***o 的大作中提到】: stock price up about 5%: Dec 2010 OTM calls( K > 120) price down 10% or more....: Why did this happen? Thanks!
m*02010-10-22 07:105 楼125【在 i***o 的大作中提到】: stock price up about 5%: Dec 2010 OTM calls( K > 120) price down 10% or more....: Why did this happen? Thanks!
m*02010-10-22 07:106 楼130【在 i***o 的大作中提到】: stock price up about 5%: Dec 2010 OTM calls( K > 120) price down 10% or more....: Why did this happen? Thanks!
i*o2010-10-22 07:108 楼all green lines are 120C... where to plot those chart? thanks.【在 m********0 的大作中提到】: 130
i*o2010-10-22 07:109 楼even within 1 day before and after ER?【在 l**********o 的大作中提到】: time value drop a lot after ER
s*v2010-10-22 07:1010 楼不是time value的问题,楼主问的是12月的,time value还不至于衰减(decay)那么快,主要是由于volatility的变化。ER之前股价变化的不确定性很高,volatility在期权中起很大作用,ER之后不确定性减少,volatility的影响也减少,所以期权价格也受影响。【在 l**********o 的大作中提到】: time value drop a lot after ER
l*o2010-10-22 07:1011 楼对的,是因为volatility我一般缺省认为time value由volatility和天数决定。没说精确。【在 s***v 的大作中提到】: 不是time value的问题,楼主问的是12月的,time value还不至于衰减(decay)那么: 快,主要是由于volatility的变化。: ER之前股价变化的不确定性很高,volatility在期权中起很大作用,ER之后不确定性减: 少,volatility的影响也减少,所以期权价格也受影响。