Hợp đồng dài ngắn cuộc gọi hết hạn 3 tháng 3 thángCuộc đình công vào các cuộc gọi thời gian này là thấp hơn so với trước (107 thay vì 110) như vậy là phí bảo hiểm hủy bỏ ra. các mô hình làm cho một số giả định đơn giản hóa có thể không phải lúc nào cũng phải thực tế trong thực phí giao dịch. | 134 Derivatives Demystified Table Details of the contract Underlying share XYZ Spot strike price 600 Type of option Bought call Time to expiry 30 days Volatility 20 . Net carry 1 . Call value Table 600 strike call option intrinsic and time value at different spot prices Share price Call value Intrinsic value Time value 550 0 560 0 570 0 580 0 590 0 600 0 610 10 620 20 630 30 640 40 650 50 550 up to 650. The second column shows the option value according to the model at that spot price the third column shows how much of this is intrinsic value and the fourth column shows the various time values. A few examples from Table should help to explain the figures. Share price 550. The model values the call at . The contract is out-of-the-money and has zero intrinsic value. Therefore all the value must be time value. Share price 650. The model values the call at . The contract is quite deeply in-the-money. Intrinsic value is 50 so time value is . The results from Table are graphed in Figure . The dotted line in the graph shows the total value of the option. The solid line represents intrinsic value which is either zero or positive. The difference between the dotted line and the solid line is time value. The graph illustrates the fact that when the share price is low and the call is deeply out-of-the-money it has zero intrinsic value and very little time value. An out-of-the-money call is rather like a bet with long odds. The stake time value is not very great but there is also little chance of success. As the share price increases towards the strike the expected payout improves and the time value of the option rises. Time value peaks around the at-the-money level - in this example when the share price is 600 - at which point the contract behaves rather like an even bet. The graph in Figure depicts the time
