The Traderszone Network

Published in TZ Latest News 7 April, 2017 by The TZ Newswire Staff

Calculate the price of the underlying using options prices

Hi guys,

I am sure there is a way to do this, but for the life of me I can’t remember how or find anything online about it.

Essentially I want to use option prices to find the underlying price of that months synthetic future.

For example, most indices have quarterly futures Mar/Jun/Sep/Dec. But I know that for for example, the April series of options will be priced off a synthetic April future. This isn’t a real future, and can’t be traded, but it is theoretically where the underlying…

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