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To: willcousa who wrote (7421)1/5/2004 2:00:55 PM
From: Ira Player  Read Replies (1) | Respond to of 13403
 
OT

I don't understand "$8.85 vs. a b/s value of $6.87"?

Black-Sholes valuation is very sensitive to the Implied Volatility used.

What IV value are you assuming for KLAC? (It appears to be 29%)

Using a risk free interest rate of 2% and calculating Implied Volatility with KLAC at 58.99:

Mar 04 60 Strike average of B/A = $3.65 IV = 36%
Jan 06 70 Strike average of B/A = $8.90 IV = 35%

Nothing appears inconsistent.

Ira



To: willcousa who wrote (7421)1/5/2004 2:40:32 PM
From: Jan Crawley  Read Replies (1) | Respond to of 13403
 
--OT--

Thanks for the discussions, I need to look into this area.

Would you short-term short KLAC if it becomes even more extended?


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