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The correct way to price is to set the interest rate to zero .. just like an
index option and then price of the adjusted NDX future. Whenever you have
an implied forward for price ..... anywhere there is a robust forward
contract trading .. use the forward and then use - what is called the Black
model - used for futures options. If you are using any other model just set
the rate to zero.
-----Original Message-----
From: Ira Tunik [mailto:irat@xxxxxxxxx]
Sent: Saturday, May 11, 2002 10:10 AM
To: realtraders@xxxxxxxxxxxxxxx
Subject: Re: [RT] qqq - option pricing problem
Interest rate in the calculations wouldn't make that big a difference.
The interest rate at 3.5% used is actually low for an 18 mo investment
in a CD of other short term allocation.
"M. Simms" wrote:
> There's something wrong with the pricing model used in developing the
> numbers on this grid.....those options far out of the money have a
> theoretical price that is way, way too high.Could the interest rate
> used in the option model calculations be too high ?
>
> -----Original Message-----
> From: profitok [mailto:profitok@xxxxxxxxxxxxx]
> Sent: Friday, May 10, 2002 7:14 PM
> To: realtraders@xxxxxxxxxxxxxxx
> Subject: Re: [RT] qqq
>
> Raythis is a great tool you haveEspecially to see
> under/over valuewhen you have timecan you post may 2002
> calls puts25-35this WILL show were arbitrage CAN happenBen
>
> ----- Original Message -----
> From: Ray Raffurty
> To: realtraders@xxxxxxxxxxxxxxx
> Sent: Friday, May 10, 2002 10:49 AM
> Subject: Re: [RT] qqq
> I forgot to attach the table. Good luck and
> good trading, Ray Raffurty
>
> ----- Original Message -----
> From: Ray Raffurty
> To: realtraders@xxxxxxxxxxxxxxx
> Sent: Friday, May 10, 2002 10:18 AM
> Subject: Re: [RT] qqq
> Unfortunately this trade has gotten
> away from you by a large amount. There
> is no miracle cure when you are this far
> down, but you can help the situation by
> selling 2 out of the money call leaps,
> say the Jan-04 38 or 40 and buying 1 at
> the money call leap with the same
> expiration date, the Jan-04 30. Try to
> do this for little or no debit. If you
> send me the details (number of shares,
> purchase price, when purchased,
> commissions paid) privately at
> r.raffurty@xxxxxxxx I will look at it in
> more detail. Good luck and good
> trading, Ray Raffurty
>
> ----- Original Message -----
> From: JAC1390@xxxxxxx
> To:
> realtraders@xxxxxxxxxxxxxxx
> Sent: Thursday, May 09, 2002
> 8:06 PM
> Subject: Re: [RT] qqq
> I am holding a position in
> QQQ's down 20 points. Can
> anyone recommend
> a strategy for writing options
> on position with the intent of
> not
> selling position. In other
> words if position gets close
> to getting
> called away I want to maintain
> position rather than realize
> loss. Pie
> in the sky thinking?
>
>
>
>
>
>
>
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