Course Name: Options Trading Strategies In Python: Intermediate, Section No: 7, Unit No: 5, Unit type: Notebook
# Changing days to expiry to a day before the front-month expiry
days_to_expiry_nov_call = 0.001
days_to_expiry_dec_call = 29 - days_to_expiry_nov_call
why is the daystonovcall = 0.001?
Hi Ronak,
Here, we are using the Black-Scholes pricing model to estimate the price of the back-month call option (expiry on 30 December 2017) at the expiry of the front-month call option (expiry on 28th Nov 2017).
Since its 'at the expiry' of nov call option, we considered 'days_to_expiry_nov_call' close to zero days i.e. 0.001 days.
Hope this helps
Thank you