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Strategies & Market Trends : Waiting for the big Kahuna

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To: William H Huebl who wrote (67352)	11/15/2003 7:01:08 AM
From: Real Man	Read Replies (1) of 94695

I think it should p = X exp (-r T) N(-d2) - S0 N(-d1) (p - European put value) d1 = [ln[S0/X] + (r + sigma^2/2)T]/[sigma sqrt(T)] d2 = d1 - sigma sqrt[T] S0 - stock price, X - strike r = 1% - risk-free rate sigma - volativity T - time to expiration N(x) - normal distribution. What enters the normal distribution is sigma sqrt(T). Which means, you gain a lot more on the volativity rise than you lose in time premium, with long-term options. If you use this formula to sell options and delta-hedge options sold, you will make billions with them. Unless, of course, this house of cards collapses, because N(x) is the wrong distribution in reality. But Mythman says it's a myth. So, if Mythman is right, you can have Fed's printing press at home. All banks do. -g- BWDIK?

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