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- Covered call outperforms ~34% of the time
- You sold the 103 call at $.69…you expect to lose $1.60 of probability-weighted excess return since the stock moves $2.00 per day instead of $1
- This is confirmed by our binomial tree model where we compute option prices arithmetically. If the stock moves $2.00 per day the 103 call is worth $2.29
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