Great post Rogue Trader, with some Greecs I compared CTM and VMC...

Great post Rogue Trader, with some Greecs I compared CTM and VMC and yes, totally agree VMCOA rerates big time once VMC gets momentum.

At this moment CTM has a beta of 2.82 and VMC of -0.03
At a mid price of 0.1925 cents and a VMCOA price of 0.042 the implied volatility of VMCOA is 53.2



Implied volatility of CTMOB, a whopping 184.437



If I apply the implied volatility of CTMOB to VMCOA the result is a whopping 13 cents, still based on the current mid price of 0.1925 for VMC. A bit expensive but the methodology is clear, momentum will bring an increase in volatility in VMC which will lead to an increase in premiun in VMCOA. Cheers