Silicon Investor (SI) -- The First Internet Community

STOCKTALK

We've detected that you're using an ad content blocking browser plug-in or feature. Ads provide a critical source of revenue to the continued operation of Silicon Investor. We ask that you disable ad blocking while on Silicon Investor in the best interests of our community. If you are not using an ad blocker but are still receiving this message, make sure your browser's tracking protection is set to the 'standard' level.

Strategies & Market Trends : How To Write Covered Calls - An Ongoing Real Case Study! -- Ignore unavailable to you. Want to Upgrade?

To: Herm who wrote (6196)	12/19/1997 8:49:00 AM
From: Douglas Webb	Respond to of 14162

My options page is doing fine! webbindustries.com I'm getting the 20-minute delayed quotes direct from CBOE now. I've also improved the iterative implied volatility calculations, so short term options won't get that '-' value anymore, and I've added the theoretical put pricing formula from page 479 of McMillian. The volatility for puts and calls come out pretty close on the stocks I've looked at, so I think my approximations on interest and dividends are ok. I have to say that I wouldn't put too much emphasis on those theta's, especially if there's more than a week or two before expiration. They bounce around a lot, even during the course of a day. I've seen them go to zero, or even slightly positive! That's a side effect of the way I calculate them: I just calculate the theoretical call value for one day less, and report the price difference as the theta. That's not an accurate calculation unless there's a large price difference, and that will only happen near expiration. Doug.