Re: Are naked calls/puts insanely +EV? What am I missing here?
[ QUOTE ]
[ QUOTE ]
Etrade lets you see the the Theoretical Value of calls/puts for stocks. This theoretical value is based off the Black-Scholes formula. I assume they base it off the derivation of the formula that is used for American options. The thing is I plugged in a few stocks and it seems like the theoretical value of every call/put option is less than what the option is trading for. For example "QQQUP", a sept put option on nasdaq is trading at .58, and the theoretical value is .13. I understand naked calls/puts are insanely risky, but this seems like they are also ridiculously +EV. What am I missing here?
[/ QUOTE ]
Experience? Logic?
I dunno, what aren't you missing?
J
[/ QUOTE ]
Care to elaborate?
|