finding mispriced options

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1、Chapter7FIndIngMIsprIcedOptIOnsAllouroption-relateddiscussionssofarhavebeentheoretical.Nowitistimetodelveintothepracticaltoseehowoptionsworkinthemarket.Afterfinishingthischapter,youshouldunderstand1.Howtoreadanoptionchainpricingscreen2.Option-specificpricingfeaturessuchasawidebid-askspread,volatili

2、tysmile,bidandaskvolatility,andlimitedliquidity/availability3.Whatdeltaisandwhyitisimportanttointelligentoptioninvestors4.HowtocomparewhattheoptionmarketimpliesaboutfuturestockpricestoanintelligentlydeterminedrangeIntermsofwherethischapterfitsintoourgoalofbecomingintelligentoptioninvestors,obviousl

3、y,evenifyouhaveaperfectunderstandingofoptionandvaluationtheory,ifyoudonotunderstandthepracticalstepsyoumusttaketofindactualinvestmentopportunitiesintherealworld,allthetheorywilldoyounogood.Newjargonintroducedinthischapterincludesthefollowing:ClosingpriceBidimpliedvolatilitySettlementpriceAskimplied

4、volatilityContractsizeVolatilitysmileRound-trippingGreeksBid-askspreadDelta143144 • TheIntelligentOptionInvestorMakingSenseofOptionQuotesLet’sstartourpracticaldiscussionbytakingalookatanactualoptionpricingscreen.Thesescreenscanseemintimidatingatfirst,butbytheendofthischapter,theywillbequitesensible

5、.CallPutDescriptionLastChngBidAskAImpl.IBidVol.mpl.skVol.DeltaLastChngBidAskAImpl.IBidVol.mpl.skVol.DeltaJUL26´130.86-0.230.910.9421.672%24.733%0.8387310.09+0.010.070.0922.812%24.853%-0.16130.23-0.140.240.2620.380%21.722%0.4313320.45+0.100.390.4220.456%22.469%-0.56890.02-0.040.020.0419.627%22.988%0

6、.0631331.15+0.111.171.2019.851%24.612%-0.9373C0.000.02N/A62.849%0.000037C4.994.905.25N/A85.803%-1.0000C0.000.02N/A72.188%0.000038C5.994.857.25N/A203.970%-1.0000C0.000.02N/A81.286%0.000039C6.995.408.90N/A267.488%-1.0000AUG16´13C12.0110.3513.30N/A201.771%0.958020C0.000.02N/A77.739%-0.0420C11.019.3012

7、.40N/A192.670%0.959821C0.000.02N/A70.681%-0.0402C10.018.4011.35N/A175.779%0.962022C0.000.02N/A63.514%-0.03801.16-0.171.171.1919.408%20.098%0.7053310.33+0.020.330.3419.958%20.303%-0.29480.54-0.140.560.5818.4