Reply To: Changing Expiry Date on Commodity Daily Option

#8940
Israr Ahmed
Keymaster

Thanks for all the replies. The context was this : have a Float Strike ( month ahead 1_0_1 ) daily phys option. This generates a value in the T_strike of the Model Inputs. I was never quite sure what this input was or how it was used.

Turns out that for Float Strike options, the T_strike = days to the last reset date required in whatever projection method selected to fully fix the strike for that leg/oplet.

What the B-S pricing model then does is use Time To Expiry = T< Days> – T_strike .

For Fixed price options the T_strike = 0 .

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