Greetings!
I don't expect a response to this, but thought I would put it out there.
When using the ASX Margin Estimator, which has little explanatory notes that I can find, I can use the Black-Scholes model to calculate "deemed/theoretical" prices that match up when there is no upcoming dividend. I think I can see how the European ETOs are calculated to account for the next dividend, as it seems they just subtract the expected dividend from the current/underlying share price which I'll show with the example below. However, I don't understand at all the method used for American ETOs when there is an upcoming dividend as the dividend yields seem unrealistic.
I have used an online BS calculator for the example below and all that I have found give the same results. I'm using some FMG calls as there is an upcoming dividend with the exact ex-date to be announced on 28/8, so probably not affecting the 31/8 expiry. But to begin here are some results from the ASX Margin Calculator screenshot taken this morning (22/8/23):
So the FMG European/American calls for expiry 31/8 have 9 days remaining and no dividend yield for this result which almost matches up with the ASX results.
Then, using a current share price of $19.47 can be found by subtracting the ASX div1 amount, ie. 20.42 - 0.95 = 19.47. It's 30 days to 21/9/23 expiry and then assuming no dividend as it has been accounted for in the adjusted share price, I get this result that matches the ASX price for the European call FMGYN9 above.
Finally, I have to use a dividend yield of about 38% to get the result matching the ASX's price American call for 21/9/23 FMGEG7. This equates to an annual dividend of $7.75!
Any help with this would be appreciated.
- Forums
- ASX - By Stock
- How does the ASX calculate ETO prices with dividends?
How does the ASX calculate ETO prices with dividends?
Featured News
Featured News
The Watchlist
LU7
LITHIUM UNIVERSE LIMITED
Alex Hanly, CEO
Alex Hanly
CEO
SPONSORED BY The Market Online