Smoke came out of the computer when I tried to calculate implied vol using the Black-Scholes (or Black for commodities) model for the June $0 put (not a nothing put, but a zero put), settling at $1.02 on Friday… Here is the CME’s excellent Option Settlement Tool showing a Bachelier vol of $65.40 (allows for negative prices); and B-S at 2,426% (which makes no sense in a B-S world)… The at the money B-S vol is at 248%…
by Jim Colburn Leave a Comment
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