Call Options

In my Sept 2 blog I noted that I’ve started to populate quotes for puts.   Recall that there are only four regions with electronic quotes (CUS-10 city, CHI, LAX and NYM) and that most of the inquiries that I’ve received has been for short-dated (e.g. <2 year) protection. Here, I’d … Read More

Option Prices -Aug 9

I’ve had a handful of inquiries related to options so I figured that I’d use some down time to dust off my option pricing model and give the topic some attention.

The table below shows my quotes on the four electronically traded regions.  Recall that options on other regions can … Read More

CME clarifies option exercise protocal

The CME just released an announcement that is intended to make clear that Case Shiller options have European-style (at expiration) and not American-style (continuous) rules.

Since the futures don’t have coupon payments or dividends, and since options always have some time value, I’ve long analyzed these options as European.  … Read More