Observations of the ATM straddle price
Quantitative Finance
Level
1
On the week of expiry, you recorded the closing price of the ATM straddle as follows:
| Trading days left | 5 | 4 | 3 | 2 |
| Price of Straddle | 3.35 | 3.23 | 3.03 | 2.73 |
What can you conclude is happening?
by
Calvin Lin