Goldman Says SPX Call Options Mis-priced; Best Time To Buy In 20 Years

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Mark Melin
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Updated on

SPX Call Options time to buy? There has been a debate among options market makers as to the validity of various pricing methods. In particular, the value placed on out of the money calls and puts were in question, particularly when the Black Scholes pricing model was used. Now a report from Goldman Sachs notes how, based on its valuation methods, both calls and puts on the S&P 500 are being mis-priced – and this may provide opportunity. Calls most attractive in history of Goldman’s options pricing model Calls on the SPX are more attractive now than at any point over…

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Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.