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| I struggle with statistics, but here is a stab at it. The main factor you are missing is the underlying futures price volatility factor of option pricing. Option prices are the reflection of statisticians making calculated bets on the likelihood of the underlying price change. To predict the option value you have to predict price volatility (standard deviation). More time means more chance of making money, therefore more expensive. More price volatility also means more chance of making money, likewise more expensive. Simply and not answering your question it will be priced fair based on statistics. Closer you are to the expiration date it moves penny for a penny in the money. In my opinion buy options with the intent to hold until they are about expire then you know the price. | |
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How do you calculate the value of an option?
