Volume Profileof Call Options

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The Volume Proﬁle of Call Options
Article in SSRN Electronic Journal · September 2011

DOI: 10.2139/ssrn.1928119
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ISSN 2229-6891
International Research Journal of
Applied Finance
Volume. III Issue. 8 August 2012
Contents
The Effect of Earnings Aggregation on Valuation of Firms with Negative Earnings

Keji Chen, & Ramachandran Ramanan 1063 - 1069
Could Accruals Predict R2 ?

Alex Chung, Rong Qi, & Thom Thurston 1070 – 1100
How well do Virtue Mutual Funds stack up?

Dr. Doug Witte 1101 – 1121
The Volume Profile of Call Options

Dallas Brozik 1122 – 1144
Bank Loans and Under-Performers

Sherrill Shaffer 1145 - 1150
Interest Rate Sensitivity of Stock Returns: Effects across the Maturity Profile and Direction of
Interest Rate Changes
Sokchea Lim, Vichet Sum, & Channary Khun 1151 – 1162
Financing the Gamble: Like the odds? Me too. Money-Up!

Edward J. Lusk, & Michael Halperin 1163 – 1179
Crowding in and Crowding Out Effects of Debt Financed and Tax Financed Public Expenditure
on Private Investment in Zimbabwe.
Runesu Chikore, & Walter Gachira 1180 – 1189
Macro-Financial Vulnerabilities and Economic Downturns: A Comparison Analysis between

Cost-Sensitive Learning and Markov-Switching Approaches
Meriem DJENNAS, Mohamed BENBOUZIANE, & Mustapha DJENNAS 1190 – 1206
Means of Financing and Company Financial Attributes

Dr. George Iatridis 1207 – 1217
www.irjaf.com
International Research Journal of Applied Finance ISSN 2229 – 6891
Vol – III Issue – 8 August, 2012
The Volume Profile of Call Options
Dallas Brozik
Marshall University
Huntington, West Virginia 25755-2320
(304) 696-2663
brozik@marshall.edu
1122
Abstract
Examination of the profile of the volume of call options traded and the prices at which they trade
reveals a non-symmetric relationship which has implications concerning the empirical pricing of
these contracts.
Keywords: Call Options, Option Volume, Empirical Call Option Price Curve
Much work has been done concerning the pricing of stock options, but virtually no research has
been conducted on the volume structure of option trading. Even simple demand/supply analysis
identifies the importance of the interaction of prices and trading volume. Examination of trading
volumes and their patterns across time could provide insights to option pricing and trading.
I. Literature Review
There is no theoretical basis for the structure of the volume of option trading. Studies have been
conducted to determine the relationship between option volume and stock trading volume
(Anthony (1988)), the relationship between option volume and future price volatility of the
underlying contract (Tae, Switzer, and Bedrossian (1999); Sarwar (2004)), and the relationship
between option volume and future price of the underlying contract (Boluch and Chamberlain
(1997); Easley, O’Hara, and Srinivas (1998); Chakravarty, Gulen, and Mayhew (2004); Machnes
(2006)). While volume is indeed a factor in this type of research, it is only a component of other
research efforts. A focus on the specific characteristics of the volume of option trading could
reveal additional insights to market activities.
Options can be used for hedging and speculation, and both in-the-money and out-of-the-money
options can be used for either purpose. Different traders may approach the same problem in
different ways, and their individual choices of how to create a hedge or to speculate on the
movement of a stock’s price could result in a pattern of trading that might be chaotic or
predictable. It is the purpose of this research to use empirical data to identify any structure in the
volume of option trading and determine whether or not there are implications for the structure of
option pricing.
II. Data
One consideration in identification of volume factors is the availability of sufficient data so that
any underlying patterns can be revealed. The Chicago Board Option Exchange (2009, 2010) has
identified eight companies for which the volume of option trading had surpassed ten million
contracts in at least one of the years from 2006-2010. These companies and the number and
volume of contracts traded are presented in Table I. Not all firms surpassed the ten million
contract volume in all years, but there were sufficient observations in any given year to provide a
large data set for each firm.
There are many contracts with different specifications available on the stock for a given firm, but
not all of them trade on any given day. Contracts that had a zero trading volume or a zero value
for the bid price were eliminated from the set since they were not trading. Options with greater
than 270 days to maturity were eliminated in order to remove any effects that might be due to
trading in LEAPs. These adjustments result in a data set that covers five years and includes
486,385 contract specifications covering 911,616,582 option contracts.
The data was analyzed both over the entire five year period and for individual years. This was
an active period for the market with both a record high and a major price decline. Any
consistency in the pattern of option trading over this period could be considered as a
characteristic of the market rather than an idiosyncratic event.
1123
There is a structural problem that makes any empirical study of option data difficult. On any
given day there are many different contracts traded on options for the same stock, each with
different maturities and strike prices. For example, on 31 August 2009, there were 350 different
specifications for Apple call options available to be traded, and 250 of those specifications traded
for a total volume of 102,400 contracts. On that same date, 243 of 377 different contract
specifications for JPMorgan traded for a total volume of 68,391 contracts. Each one of these
data points represents a single observation from a different pricing profile. It is not possible to
see more than one point from any pricing curve at any time, so attempts to combine non-
comparable data are inappropriate.
The difficulty of comparability can be addressed by normalizing the data relevant to option
pricing. Option pricing theory holds that the price of the underlying stock, the strike price of the
option contract, the time to maturity, the risk-free interest rate, and the price volatility of the
underlying stock are relevant to the stock pricing model. The interest rate and volatility are
common to all options traded on a given stock at any given time. The time to maturity is
common to several subsets of the traded contracts, and the stock price varies continuously. The
one thing that is a constant throughout the life of any contract is its strike price.
Normalization of the data is achieved by dividing the absolute stock price and the absolute
option price by the strike price of the option. The strike price thus serves as the common
reference point for all pricing curves, and the amount that the stock price differs from the strike
price is a percentage of the strike price rather than an absolute number of dollars. All pricing
curves can now be compared in a common “relative” price framework where the strike price acts
as the reference point. No adjustment is needed for the time to maturity or the risk-free interest
rate since they are not denominated in the same units as the strike price. Figure 1 demonstrates
the process of normalization. In the top panel, three option price profiles are shown for strike
prices of 40, 50, and 60. The normalization process is depicted in the second panel. The
different price profiles are effectively “pulled together” through the normalization of all
monetary values to the strike price of the contract. The third panel shows a relative pricing
model that incorporates all contracts on a common basis. The use of this type of modeling
allows all contracts to be used in the analysis.
III. Analysis
Figure 2 presents the distribution of relative stock prices for Apple call options and the
cumulative frequency distribution for the period 2006-2010. Figures 3 through 7 present the
same distributions for the individual years 2006 through 2010. The frequency distributions for
all years for all stocks examined are similar. The distributions are asymmetric and skewed
toward the higher values. This occurs because the relative stock price can be no lower than zero
but can be greater than two. It is important to note the values of the left and right tails of the
distribution. The lowest relative stock price value at which an Apple call option traded occurred
was 0.25 in 2008, and the highest value was 22.82 in 2006. The values for various percentiles
are presented in Table II for all years for each firm in the study.
The lowest value of the left tail is that point below which trading does not occur. In 2006 and
2007, this value was greater than .40 in 15 out of 16 cases. During this period, if the stock price
fell to less than 40% of the stock price, traders simply were not interested in the contracts,
possibly due to the unlikelihood of the stock price increasing by a relative 250% before maturity.
This floor was different for the different stocks. The years 2008 through 2010 coincided with a
stock market decline and recovery. The widely varying stock prices during this time and the
1124
widely differing strike prices on shorter term options affected the values for both the lower and
higher ends of the distributions.
The highest value of the relative stock price distribution shows that while there might be a close
floor on the options traded that the ceiling can be quite high. Deep-in-the-money options
continue to trade at multiples of the strike price. Some of these values would be the result of
options existing before the general decrease in stock prices during 2008, but even in the periods
of increasing stock prices, such as 2007 and 2008-2010, options continued to trade at high
multiples of the relative stock price.
Table II also presents the value of the relative stock price at the 50th and 99th percentiles of the
distribution. The value at the 50th percentile shows that during the five year period trading
occurred near the strike price with roughly half the period slightly more and half slightly less
than strike. Even during periods of dramatic swings in stock prices, traders apparently prefer to
trade close to the strike which could indicate that traders do not anticipate large price swings
before the maturity of the option.
The 99th percentile is used as a proxy for the right end of the distribution to remove the effects of
any outlying values. In 10 of the 40 subperiods examined, this ceiling value was less than two.
All of these values occurred during 2006, 2007, and 2010 when the market was relatively well-
behaved. During the decline and recovery of 2008-2009, all values were greater than two,
possibly due to the volatility of market prices. When the entire 2006-2010 period is considered,
the ceiling value is greater than two for all eight firms. This confirms the inherent asymmetry in
the volume profile.
Table III shows the relative position in the profile distribution at which the contracts traded at the
strike price. Values lower than 50% indicate that the majority of the contract specifications
traded in-the-money, and values greater than 50% mean that the majority of contract
specifications were traded out-of-the-money. The data for the entire period and the subperiods is
equally split. This is consistent with the data from Table II which shows that traders seem to
prefer trading near the strike price. It should be noted that in 2008 the trading profile indicates
that options tended to trade out-of-the-money for all firms. This is consistent with the drop in
market prices in 2008 that turned in-the-money options to out-of-the-money options.
The volume profiles for all stocks for all periods indicate a skewness to the right, but the profiles
themselves can vary. Figure 8 shows the volume profiles for Apple call options. All graphs
have a common scale on the y-axis to permit comparison of the distributions. The Apple
distributions were quite similar across the entire period despite the market pricing swings of
2008-2009. Figure 9 shows that the volume profiles for Bank of America were quite different.
During the stable period of 2006-2007, the profiles are quite “tight” indicating that the majority
of trading occurred in a relatively small range of prices near the strike price. The period of price
decline and recovery in 2008-2009 shows much “wider” distributions, possibly due to the wide
swings in stock prices during the period. The price of BAC stock stabilized during 2010, but the
volume profile remained wide compared to 2006-2007. This could indicate a change in the
trading pattern caused by traders having more diverse opinions of the future of BAC stock. The
volume profiles for Citigroup, JPMorgan Chase, and Wells Fargo show shifts similar to Bank of
America indicating that this divergence of opinion exists for all or most financial organizations.
The use of relative option pricing also allows a glimpse at an empirical option pricing curve.
Figures 10 and 11 show the relationship between the relative stock price and the relative option
price for all Microsoft options traded between 2006-2010 when they had 60 days to maturity.
There were 421 contract specifications during this period representing 593,274 individual
contracts. The empirical graph differs from the theoretical option price graph in that the axis to
1125
the right of the strike price is much longer than the axis to the left of the strike price. The lowest
relative stock price at which the options traded during this period was .65 while the largest was
4.72; the value at the 99th percentile was 2.49.
The stock price relative value was 1.00 at the midpoint of the distribution, and the distribution
had a stock price relative value of 1.00 between 49.4% and 51.5% of the distribution. Though
the contract specifications were evenly distributed above and below the strike price, 69.9% of the
contracts traded below the strike price and 22.0% traded above the strike. The average size of an
in-the-money trade is approximately one third the size of an out-of-the-money trade. This could
mean that once traders have contracts that are in-the-money they are more willing to ride out
market fluctuations.
The empirical structure of the x-axis has implications for the development of option pricing
models. The price of an option has two separate components. The theoretical value of the
option is the value of the option if executed immediately. Out-of-the-money options have zero
theoretical value while the theoretical value of an in-the-money option is the difference between
the strike price and the current market price of the stock. At the maturity of the contract, the
value of the option is its theoretical value. The second component of the price of an option is the
value assigned to the existence of the contract as an option. An option has time to maturity, and
during that time the price of the underlying stock could change. Out-of-the-money options could
become in-the-money and have a positive theoretical value. In-the-money options can increase
in value if the price of the underlying stock increases. This “option value” is the value of the
underlying “true option” and is distinct from the theoretical value. This relationship is shown in
Figure 12.
The fundamental difference between the theoretical value and the option value is that the option
value decays with time. For any given price of the underlying stock, the theoretical value is
constant, but the true option value decreases because the shorter the time to maturity the less
likely it is that the underlying stock will make a significant price move. If it is assumed that the
time decay of the true option value is the same for both in-the-money and out-of-the-money
options, this assumption of symmetry leads to the situation shown in Figure 13.
Out-of-the-money options are worthless at maturity, and out-of-the-money options can become
worthless prior to maturity if the market determines that it is unlikely for the price of the
underlying stock to increase enough to give the option a positive theoretical value at maturity. If
the time decay of the true option price is indeed symmetric, it would be necessary for the price of
an in-the-money option to fall below the theoretical value of the contract at some point in time
prior to maturity. This would be the point where the out-of-the-money options are no longer
traded
Pricing models can be developed that allow the contour of the pricing model to change so that
the price of the option does not fall below the theoretical value for deep-in-the-money options.
This would involve a higher rate of time decay at the strike price than at the extremes as shown
in Figure 14. This approach eliminates the problem of underpricing deep-in-the-money options
but results in overpricing deep-out-of-the-money options. It also implies trading of in deep-out-
of-the-money options, and this is not supported by the empirical data. Both Figures 13 and 14
illustrate the problem of using an option pricing model that is symmetric around the strike price.
The mathematical elegance of a symmetric option pricing model results in the mispricing of
either deep-in-the-money or deep-out-of-the-money options.
The time decay of the true option value, and thus the entire option pricing model, is not the same
for in-the-money and out-of-the-money options. An out-of-the-money option with the price of
the stock 50% below the strike price may have value if there is a long time to maturity, but the
1126
probability that the underlying stock will increase in value by more than a relative 100% of the
price of the underlying stock in the space of a few days or weeks is quite small. Deep-out-of-
the-money options with short maturities effectively have no value; they are out of play and of no
interest to traders.
In-the-money options always have a positive theoretical value. Even with only a few days
remaining on the contract, it is possible for the underlying stock to increase by a small amount
which is then magnified by the leverage implicit in the option contract. In-the-money options
will always have a price greater than the theoretical value prior to maturity since they are still in
play even when they are deep-in-the-money. This causes the option pricing model to warp as
time decays as shown in Figure 15.
The empirical data support the warping of the option pricing curve. The floor below which
options do not trade forces the left side of the “symmetric” curve downward, and the wide range
of in-the-money trades force the right side of the curve upward. This effect must be considered
in any theoretical pricing model if that model is to be successful.
IV. Conclusions
Examination of the volume profiles for actively traded option contracts reveals that there is a
pattern in the way these contracts are traded. Out-of-the-money contracts have a floor value
beneath which traders are not interested. In-the-money options, however, can continue to trade
at multiples of the strike price. All contracts examined exhibited this behavior to some degree.
The volume profiles for individual companies may shift in time and due to conditions in the
stock market, but the skewness in the distribution of the volume profiles is always present. This
skew in the volume profile also has implications concerning pricing models.
The skew in the volume profile carries over into the pricing profile due to the existence of a
restrictive trading floor and an open trading ceiling. The pricing profile must warp itself in favor
of in-the-money options if it is to capture the breadth of trading. This warp that is inherent with
the empirical data implies that symmetric pricing models will tend to overprice out-of-the-money
options and underprice in-the-money options.
Further research needs to be conducted to identify the degree of warping present in the empirical
data and translate that into a workable option pricing model. Further research also needs to be
conducted into the pricing of put options. The volume profile for put options will have a much
different shape than call options since the in-the-money put options are constrained on the left
side of the distribution because the price of the stock cannot be negative. Should the profiles
indicate significant differences in the trading patterns of call options and put options, it might be
possible to identify techniques to use these differences to create arbitrage between the two
markets.
References
Anthony, J., 1988, The Interrelation of Stock and Options Market Trading-Volume Data, The
Journal of Finance 43, no. 4: 949-964.
Boluch, M. and Chamberlain, T., 1997, Option Volume and Stock Price Behavior: Some
Evidence from the Chicago Board Options Exchange, Atlantic Economic Journal 25, no.
4: 358-370.
Chakravarty, S., Gulen, H., and Mayhew, S., 2004, Informed Trading in Stock and Option
Markets, The Journal of Finance 59 no. 3: 1235-1257.
Chicago Board Options Exchange, 2009, CBOE 2008 Market Statistics, pp. 68-69.
Chicago Board Options Exchange, 2010, CBOE 2009 Market Statistics, pp. 62-63.
Easley, D., O’Hara, M., and Srinivas, P., 1988, Option Volume and Stock Prices: Evidence on
Where Informed Traders Trade, The Journal of Finance 53, no. 2: 431-465.
1127
Sarwar, G., 2004, The Informational Role of Option Trading Volume in the S&P 500 Futures
Options Market, Applied Financial Economics, 14: 1197-1210.
Tae, P., Switzer, L., and Bedrossian, R., 1999, The Interaction between Trading Volume and
Volatility: Evidence from the Equity and Options Markets, Applied Financial Economics
9: 627-637.
Machnes, Y., 2006, The Trading Volume of Currency Options and the Spot Exchange Rate,
Emerging Markets Finance and Trade, 42, no. 3: 91-97.
1128
Table I
2006-2010 2006 2007 2008 2009 2010

Apple (AAPL)
Total Observations 123,071 18,127 23,041 29,469 23,906 28,528
Contracts Traded 167,109,744 19,284,257 41,191,497 39,781,068 28,391,130 38,461,792
Bank of America (BAC)
Citigroup (C)
General Electric (GE)
JPMorgan Chase (JPM)
Microsoft (MSFT)
Wells Fargo (WFC)
Contracts Traded 38,190,137 914,282 1,872,490 9,010,992 17,633,612 8,758,761
Yahoo (YHOO)
1129
Table II
Location of the specified percentile on the relative pricing curve.
2006- 2006 2007 2008 2009 2010

2010
AAPL
First Non-Zero Value 0.25 0.44 0.47 0.25 0.30 0.59
Value @ 50th Percentile 1.01 1.06 1.09 0.96 1.03 1.04
Last Value 22.82 22.82 9.99 9.75 11.36 21.27
BAC
Last Value 15.25 5.00 3.57 15.25 9.30 7.11
C
Last Value 9.62 3.24 2.76 9.20 5.23 9.62
GE
Last Value 9.80 6.99 1.87 9.80 6.74 7.58
JPM
Last Value 19.85 2.24 2.04 19.85 18.41 17.88
MSFT
Last Value 12.56 10.74 6.22 4.72 12.56 12.34
WFC
Last Value 12.40 4.24 2.16 7.02 12.01 12.40
YHOO
Last Value 6.95 5.79 3.36 30.. 6.95 6.65
1130
Table III
Location of the midpoint of the relative pricing curve.
2006- 2006 2007 2008 2009 2010

2010
AAPL
First Stock/Strike = 1.0 @ 45.77% 41.13% 40.13% 53.98% 46.05% 44.55%
Last Stock/Strike = 1.0 @ 47.13% 42.62% 41.40% 55.30% 47.51% 45.88%
BAC
C
GE
JPM
MSFT
WFC
YHOO
1131
Figure 1
Construction of relative pricing curve.
Absolute
Option Price
40 50 60
Absolute Strike Price
Normalizing the pricing curves

Absolute
Option Price
40 50 60
Absolute Strike Price
Relative
Option Price
( Option Price
Strike Price )
1.0
Relative Strike Price
(Stock Price/Strike Price)
1132
Figure 2
Apple Call Options 2006-2010

10%
9%
8%
7%
Frequency
6%
5%
4%
3%
2%
1%
0%
0.0 1.0 2.0 3.0 4.0 5.0 6.0
Stock Price/Strike Price
Apple Call Options 2006-2010

100%
90%
80%
Cumulative Frequency
70%
60%
50%
40%
30%
20%
10%
0%
0.0 0.5 1.0 1.5 2.0 2.5 3.0
1133
Figure 3
Apple Call Options 2006

10%
9%
8%
7%
Frequency
6%
5%
4%
3%
2%
1%
0%
0.0 1.0 2.0 3.0 4.0 5.0 6.0

100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
0.0 0.5 1.0 1.5 2.0 2.5 3.0
1134
Figure 4

10%
9%
8%
7%
Frequency
6%
5%
4%
3%
2%
1%
0%
0.0 1.0 2.0 3.0 4.0 5.0 6.0

100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
0.0 0.5 1.0 1.5 2.0 2.5 3.0
1135
Figure 5

10%
9%
8%
7%
Frequency
6%
5%
4%
3%
2%
1%
0%
0.0 1.0 2.0 3.0 4.0 5.0 6.0

100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
0.0 0.5 1.0 1.5 2.0 2.5 3.0
1136
Figure 6

10%
9%
8%
7%
Frequency
6%
5%
4%
3%
2%
1%
0%
0.0 1.0 2.0 3.0 4.0 5.0 6.0

100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
0.0 0.5 1.0 1.5 2.0 2.5 3.0
1137
Figure 7

10%
9%
8%
7%
Frequency
6%
5%
4%
3%
2%
1%
0%
0.0 1.0 2.0 3.0 4.0 5.0 6.0

100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
0.0 0.5 1.0 1.5 2.0 2.5 3.0
1138
Figure 8
Apple Call Options 2006 Apple Call Options 2007 Apple Call Options 2008
10% 10% 10%
9% 9% 9%
8% 8% 8%
7% 7% 7%
Frequency
Frequency
Frequency
6% 6% 6%
5% 5% 5%
4% 4% 4%
3% 3% 3%
2% 2% 2%
1% 1% 1%
0% 0% 0%
0.0 1.0 2.0 3.0 4.0 5.0 6.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0
Stock Price/Strike Price Stock Price/Strike Price Stock Price/Strike Price
Apple Call Options 2009 Apple Call Options 2010

10% 10%
9% 9%
8% 8%
7% 7%
Frequency
Frequency
6% 6%
5% 5%
4% 4%
3% 3%
2% 2%
1% 1%
0% 0%
0.0 1.0 2.0 3.0 4.0 5.0 6.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0
Stock Price/Strike Price Stock Price/Strike Price
1139
Figure 9
Bank of America Call Options Bank of America Call Options Bank of America Call Options
2006 2007 2008
20% 20% 20%
18% 18% 18%
16% 16% 16%
14% 14% 14%
Frequency
Frequency
Frequency
12% 12% 12%
10% 10% 10%
8% 8% 8%
6% 6% 6%
4% 4% 4%
2% 2% 2%
0% 0% 0%
0.0 1.0 2.0 3.0 4.0 5.0 6.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0
Stock Price/Strike Price Stock Price/Strike Price Stock Price/Strike Price
Bank of America Call Options Bank of America Call Options

2009 2010
20% 20%
18% 18%
16% 16%
14% 14%
Frequency
Frequency
12% 12%
10% 10%
8% 8%
6% 6%
4% 4%
2% 2%
0% 0%
0.0 1.0 2.0 3.0 4.0 5.0 6.0 0.0 1.0 2.0 3.0 4.0 5.0 6.0
Stock Price/Strike Price Stock Price/Strike Price
1140
Figure 10
Microsoft Call Options

All Contract Specifications
60 Days to Maturity
2006-2010
1.40
1.20
1.00
Relative Option Price
0.80
0.60
0.40
0.20
0.00
0.60 0.80 1.00 1.20 1.40 1.60 1.80 2.00 2.20 2.40
Relative Stock Price
1141
Figure 11
Microsoft Call Options

All Contract Specifications
60 Days to Maturity
2006-2010
0.40
0.35
0.30
Relative Option Price
0.25
0.20
0.15
0.10
0.05
0.00
0.60 0.70 0.80 0.90 1.00 1.10 1.20 1.30 1.40
Relative Stock Price
1142
Figure 12
Option Price
Option Value
Theoretical Value
Option Value
Out-of-the-Money Strike Price In-the-Money
Figure 13
Option Price
Theoretical Value
Time Decay
1143
Figure 14
Option Price
Theoretical Value
Time Decay
Figure 15
Option Price
Warp Effect
Theoretical Value
Time Decay
1144
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Financing the Gamble: Like the odds? Me too. Money-Up!

Macro-Financial Vulnerabilities and Economic Downturns: A Comparison Analysis between

Means of Financing and Company Financial Attributes

The Volume Profile of Call Options

2006-2010 2006 2007 2008 2009 2010

Location of the specified percentile on the relative pricing curve.

2006- 2006 2007 2008 2009 2010

2006- 2006 2007 2008 2009 2010

Construction of relative pricing curve.

Normalizing the pricing curves

Apple Call Options 2006-2010

Apple Call Options 2006-2010

Apple Call Options 2006

Apple Call Options 2006

Apple Call Options 2007

Apple Call Options 2007

Apple Call Options 2008

Apple Call Options 2008

Apple Call Options 2009

Apple Call Options 2009

Apple Call Options 2010

Apple Call Options 2010

Apple Call Options 2009 Apple Call Options 2010

Bank of America Call Options Bank of America Call Options

Microsoft Call Options

Microsoft Call Options

Out-of-the-Money Strike Price In-the-Money

Out-of-the-Money Strike Price In-the-Money

Out-of-the-Money Strike Price In-the-Money

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