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Case Study: How to Use the power4XL Black-Scholes Options Toolkit Macros

Zymogenetics Sept 06

Example of using historical volatility and implied volatility functions for Black-Scholes analysis of a trade involving short naked calls on ZGEN options, ten days from expiration.  I chose to short calls rather than buy puts because the comparison of implied volatility versus historical volatility indicated the options may have be significantly overpriced.  When something's overpriced you want to be a seller, not a buyer.

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