On the viability of Jan'23 950Cs stonkmaster33 4 months ago by stonkmaster33 I have 50 contracts that I averaged down. Historically during past runs, they have gone to double digits, $13 in March, $34 in November. Reply You pretty much answered yourself, and there's the price of the contract $2+ with 6+mths of theta Reply You can use black-scholes to get an idea, but there are a lot of factors that go into the calculation Reply If you want ot science the shit outta this idea, you can iterate implied volatility given the price of the underlying by taking this approach. Vega is the first derivative of volatility, so you reverse engineer the black scholes model as follows: Reply Thanks for inclusion of the python code, what do d1 and d2 denote in the formula? Reply What happens to these after the split div? Curious as I have some Reply Leave a Reply Cancel replyYour email address will not be published. Required fields are marked *Comment Name * Email * Website Author: admin

I have 50 contracts that I averaged down. Historically during past runs, they have gone to double digits, $13 in March, $34 in November. Reply

You pretty much answered yourself, and there's the price of the contract $2+ with 6+mths of theta Reply

You can use black-scholes to get an idea, but there are a lot of factors that go into the calculation Reply

If you want ot science the shit outta this idea, you can iterate implied volatility given the price of the underlying by taking this approach. Vega is the first derivative of volatility, so you reverse engineer the black scholes model as follows: Reply

I have 50 contracts that I averaged down. Historically during past runs, they have gone to double digits, $13 in March, $34 in November.

You pretty much answered yourself, and there's the price of the contract $2+ with 6+mths of theta

You can use black-scholes to get an idea, but there are a lot of factors that go into the calculation

If you want ot science the shit outta this idea, you can iterate implied volatility given the price of the underlying by taking this approach. Vega is the first derivative of volatility, so you reverse engineer the black scholes model as follows:

Thanks for inclusion of the python code, what do d1 and d2 denote in the formula?

What happens to these after the split div? Curious as I have some