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I don't receive Fishback's brochure, nor do I use Metastock. But I'm also interested in low volatility options on good, strong stocks. For csco, I show a 78% volatility over the last 30 days, and options prices significantly below the Black-Scholes level, which includes volatility as one of its variables. Maybe that is what he is getting at. For example July ATM calls are about 4, as compared with 7 for B-S. Puts are about the same discount to B-S. SUNW options are also below B-S. Dell, OTOH, are about at the B-S levels, so I don't know what is going on there. In fact, I note that qcom and jdsu, both of which are much higher in volatility, are also below B-S (jdsu was well above just a month or so ago). So I don't know what is going on either, but CSCO does appear to be at a good level for straddles. |
