quick question for you guys;
when you are looking at an option series where there is a dividend before expiry, where do you get the current best estimate of the dividend yet to be annnounced? The 'dividend schedule' in IAB seems bollocks and the ASX only have past or announced divs on their site.
The stock in question is WBC looking for the may dividend to price may options.
last divi was 65c so a starting guess would be around 70c. trying to match that up with the actual option price though isnt easy;
May 2350 C = 63.5 mid price and 2350 P = 110 mid price.
the only inputs (in the option calc) that match both those figures are a div=55c and V=22%
the 55c seems too low as i doubt WBC are looking to drop the div and the IV is a lot higher than April (which is around 15%). I know values of american options should be higher than the euro model but that much?
If I use div=70c then the V required to match the market prices is 23.8% for the call and 19.5% for the put. but that cant be because the no arbitrage assumption requires V to be same for put and call right?
confused of perth