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There are several options evaluation models some apply to stocks, some to
futures, some to european type options and some to american style options. Any
option has a theoretical value based upon the underlying, its price, volatility,
current interest rates and time till expiration of the option. Ira
ROBERT ROESKE wrote:
> In the past on several occasions the DROEX has stated that options are
> priced off the futures. Would he mind elaborating on this a bit? Is he
> referring to OEX options or SPX options or just sp futures options or all
> three? Since he teaches and works for the CBOE the impression is he is
> referring to OEX index options also, but no where in the popular options
> valuations models is there a futures component. There is the time,
> volatility, interest rates, strike, etc. Perhaps he is referring to pricing
> from an intraday standpoint when the models don't work too well and take a
> back seat to supply/demand or order flow factors. It would make an
> interesting study, if someone on this list who can do correlation studies on
> intraday data would take the OEX and its options and the snp futures and the
> oex options and see how the correlations compare. In the end I shold think
> that since the value of the option is linked to its underlying that the
> Index correlation would win out over the futures correlation. However when
> it comes to tracking these things intraday what is the sage advice?
>
> Confucious say when confused ask a confusing question,
> BobR
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