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Replies to post #46982 on S&P 500 & Nasdaq Analysis and Trends

Replies to #46982 on S&P 500 & Nasdaq Analysis and Trends
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05/10/07 9:55 AM

#46984 RE: Myself °¿° #46982

okay I'll think this one then:

CNMFT
Implied volatility: 32.66 Time value: 21.04 Days to expiration: 37











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05/11/07 9:06 AM

#47046 RE: Myself °¿° #46982

Say some crazy fool bought to open one CNMFX contract yesterday...

This says the delta is .0297 at yesterday's close...

http://www.optionsxpress.com/quote_detail.asp?SESSIONID=&SYMBOL=.CNMFX

CNMFX bid yesterday at close was 45 cents

CME currently trading up 30 points

So, using yesterday's data,

.0297 x 30 = .891

.891 + .45 = 1.34 << this should approximate opening bid, assuming IV remains the same? (it won't, I know, but trying to calculate an opening bid using pre-market data, lol)