Big Board Toolbox

[cta751]

I figured the percent gains with the options calculator. Thing to keep in mind with MW is that a 22.50 call is only 1.20 under the money at the current time. As the price hits the money the delta goes up and as it gains beyond that it keeps rising.

At current price of 21.30 the calculator shows a current delta of .38, only a penny off the .39 you are using.

At the money, at 22.50 the delta would rise to .52 and the premium would be approximately 1.28 (43% gain on current ask)

At 23.30, or a 2.00 gain the delta would hit .62 and the premium would be approximately 1.74 (105% gain on current ask)

At 24.30 or a 3.00 gain the delta would be .73 and the premium would be approximately 2.41 (184% gain on current ask)

At 25.30 or a 4.00 gain the delta would be .81 and the premium would be approximately 3.18 (274% gain on current ask)


These are all figured on the call side. If one went with just a straight call on it and it made a couple dollar move up the gains would be nice. Only problem is the time is short on the march calls and I'm not that confident on this play, especially since I found SIGM shortly after working it. It is however a nice example of how the price and delta figure can rapidly increase when you buy contracts so close to the money