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>right now for example oracle is up $5 and June 65 call is up only 2 1/4?
>UNDERPRICED
I beg to differ.
When this was sent, ORCL was trading @ 69, up $5 from 64.
$2.25 up in the atm call for a $5 upmove in stock is pretty accurate
considering
- last trade in the 65 call $2.25 ago may not have happened simultaneously
with the stock at 64.
- yest settlement may be flawed (since we're only talking $0.25 difference
in the call on a delta basis)
- bid-offer not reflected above, I would allow $0.25 slippage.
No conclusions re underpriced/overpriced based on volatility using the above
data for its basis.
Gitanshu
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