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- UID
- 223418
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- 305
- 主题
- 8
- 注册时间
- 2011-7-11
- 最后登录
- 2014-8-2
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22#
发表于 2011-7-11 19:50
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nielsendc Wrote:
-------------------------------------------------------
> verse214 Wrote:
> --------------------------------------------------
> -----
> > I don't see how a stock's volatility could drop
> to
> > zero within a day's worth of trading (or
> absence
> > thereof). It depends on the period of time
> you're
> > using to calculate the vol. If it's an
> historical
> > 30 day period then I don't see how it could
> > plummet to the point where the option is worth
> > zero in one trading day.
>
> Suppose you had a call option on xyz stock,
> volatility input is 20%, expiration 3 weeks away
> or so.
>
> Then suppose trading gets halted for late
> filing/registration or something equally
> beaurocratic. Implied future volatility would be
> zero until it started trading again, which would
> be after the firm met its obligations. In the
> mean time, if options expiry were to be before the
> firm is slated to meet those obligations, I can
> see the option being worthless.
In that situation the option would be worthless because no one would buy or sell any options on the stock.
The maximum time period that the SEC can halt trading for regardless of the offense is 10 days; 10 days till expiration is not considered extremely far out. If this were to happen to the 12 dollar stock, the stock would never trade again at 12 dollars and in serious situations the stock would become worthless. Therefore, the option becomes worthless moreso because the stock becomes worthless and not because of the drop in implied volatility. If anything there would be an even bigger drop in the price of the stock after the 10 days runs out. |
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