Investors in the iShares MSCI EAFE ETF (EFA) will have new options available for the November 20th expiration date. The newly listed put contract at the $100.00 strike price currently has a bid of $0.23, offering a potential cost basis of $99.77 for investors willing to sell-to-open. This represents a 3% discount to the current share price of $103.50, with a 67% chance that the put will expire worthless.
On the call side, a contract at the $105.00 strike price is available, bidding at $1.88. Investors selling this covered call would commit to selling shares at $105.00, which could yield a total return of 3.27% by expiration. This call option has a 53% chance of expiring worthless, allowing investors to retain both their shares and the premium.
The options are based on current pricing and implied volatility figures, with put volatility at 17% and call volatility at 20%. The trailing twelve-month volatility of the EFA is calculated to be 16%.
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