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Strategies & Market Trends : How To Write Covered Calls - An Ongoing Real Case Study!

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To: Caroline who wrote (8509)	9/10/1998 6:27:00 PM
From: Herm	Read Replies (2) of 14162

Hi Caroline, Now, you are getting into Doug's area of expertise. I figure it has to do with the time value. The PUTs you are asking about consist of mostly time value and not so high implied volatilty (historical 20 Day: 38.8 Half Year: 27.2 )or intrintic value yet. Hence, you don't get the price appreciation you would expect. I copied these figures off Doug's web page for the volatility, delta and theta for the puts you mentioned. P JAN 45 1.188 .32 -.1169 P JAN 50 2.875 .31 -.1130 P JAN 55 1.500 .31 -.1495 Compare that to the more current put options: P SEPT 50 .688 .35 -.5438 P OCT. 50 1.438 .31 -.1960 *** P JAN. 50 2.875 .31 -.1732 symbol/strike last chg. bid ask vol open int. date time SLEUJ 50 Sep 5/16 -9/16 7/16 11/16 .. 47 09/10 03:57 SLEVJ 50 Oct 1 1/2 +9/16 1 3/16 1 7/16 26 1,025 09/10 03:59 SLEMJ 50 Jan 3 -1 3/8 2 3/8 2 3/4 .. 953 09/10 03:59 I can't really answer your question Caroline. It's in the math somewhere. That's what you get when you play with Sarah Lee stock. Flat cake! :-)

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