Notes

Sep7 model diagnostic using Sep4 close46.15, sigma.408179926,r.04,D2.61,ex13.729167d; stockGBM implicit finite difference with exact cashdividend interpolation, American exercise projection. Logstockgrid .001–250,2400/1800 versus3600/3000 space/time nodes. Calendar maturity14/42d. Independent of escrowCRR; no fees in fairvalue; not physicalpayoffedge. {"expiry":260918,"strike":25,"cp":-1,"fd":0,"fd_fine":0,"fd_no_div":0,"crr_no_div":0} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=FRO&timeframe=1Day&feed=iex&adjustment=all

Sep7 model diagnostic using Sep4 close46.15, sigma.408179926,r.04,D2.61,ex13.729167d; stockGBM implicit finite difference with exact cashdividend interpolation, American exercise projection. Logstockgrid .001–250,2400/1800 versus3600/3000 space/time nodes. Calendar maturity14/42d. Independent of escrowCRR; no fees in fairvalue; not physicalpayoffedge. {"expiry":260918,"strike":46,"cp":-1,"fd":2.9926860263,"fd_fine":2.9922540775,"fd_no_div":1.3638889584,"crr_no_div":1.3640309728} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=FRO&timeframe=1Day&feed=iex&adjustment=all

Sep7 model diagnostic using Sep4 close46.15, sigma.408179926,r.04,D2.61,ex13.729167d; stockGBM implicit finite difference with exact cashdividend interpolation, American exercise projection. Logstockgrid .001–250,2400/1800 versus3600/3000 space/time nodes. Calendar maturity14/42d. Independent of escrowCRR; no fees in fairvalue; not physicalpayoffedge. {"expiry":260918,"strike":46,"cp":1,"fd":1.5658891681,"fd_fine":1.5659002438,"fd_no_div":1.5808162324,"crr_no_div":1.5808412271} https://runway.adityaperswal.workers.dev/data/stock-bars?symbols=FRO&timeframe=1Day&feed=iex&adjustment=all

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":60,"c_bid":0,"c_ask":0.27,"p_bid":15,"p_ask":18.37,"pair_lo":-18.37,"pair_hi":-14.73,"naive_residual":-2.9755298012,"div_residual":-0.3694537663,"model_exercise_residual":-0.1677219789,"naive_outside":true,"american_bound_violation":false,"both_positive_bid":false,"model_diff":-16.3482682126,"iv_call":null,"iv_put":1.1878} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":55,"c_bid":0.13,"c_ask":0.32,"p_bid":10.65,"p_ask":12.56,"pair_lo":-12.43,"pair_hi":-10.33,"naive_residual":-2.7825689844,"div_residual":-0.1764929495,"model_exercise_residual":-0.1177302126,"naive_outside":true,"american_bound_violation":false,"both_positive_bid":true,"model_diff":-11.3212372631,"iv_call":0.3755,"iv_put":0.973} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":50,"c_bid":0.52,"c_ask":0.77,"p_bid":5.98,"p_ask":7.69,"pair_lo":-7.17,"pair_hi":-5.21,"naive_residual":-2.5696081676,"div_residual":0.0364678672,"model_exercise_residual":-0.0244661818,"naive_outside":true,"american_bound_violation":false,"both_positive_bid":true,"model_diff":-6.250934049,"iv_call":0.3136,"iv_put":0.7652} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":49,"c_bid":0.37,"c_ask":1.53,"p_bid":5.43,"p_ask":6.75,"pair_lo":-6.38,"pair_hi":-3.9,"naive_residual":-2.5150160043,"div_residual":0.0910600306,"model_exercise_residual":0.0157738876,"naive_outside":true,"american_bound_violation":false,"both_positive_bid":true,"model_diff":-5.215286143,"iv_call":0.3256,"iv_put":0.7493} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":48,"c_bid":0.88,"c_ask":1.18,"p_bid":3.53,"p_ask":5.76,"pair_lo":-4.88,"pair_hi":-2.35,"naive_residual":-1.9854238409,"div_residual":0.6206521939,"model_exercise_residual":0.0748685693,"naive_outside":true,"american_bound_violation":false,"both_positive_bid":true,"model_diff":-4.1607836247,"iv_call":0.2852,"iv_put":0.6118} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":47,"c_bid":1.18,"c_ask":1.73,"p_bid":4.28,"p_ask":4.94,"pair_lo":-3.76,"pair_hi":-2.55,"naive_residual":-2.5208316776,"div_residual":0.0852443573,"model_exercise_residual":0.1610698059,"naive_outside":true,"american_bound_violation":false,"both_positive_bid":true,"model_diff":-3.0791745514,"iv_call":0.2938,"iv_put":0.7038} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":46,"c_bid":1.47,"c_ask":2.009,"p_bid":3.32,"p_ask":4.14,"pair_lo":-2.67,"pair_hi":-1.311,"naive_residual":-2.3517395142,"div_residual":0.2543365206,"model_exercise_residual":0.2798748507,"naive_outside":true,"american_bound_violation":false,"both_positive_bid":true,"model_diff":-1.9649616699,"iv_call":0.2641,"iv_put":0.6485} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":45,"c_bid":1.97,"c_ask":3.68,"p_bid":2.72,"p_ask":4.019,"pair_lo":-2.049,"pair_hi":0.96,"naive_residual":-1.9011473509,"div_residual":0.704928684,"model_exercise_residual":0.4401828315,"naive_outside":true,"american_bound_violation":false,"both_positive_bid":true,"model_diff":-0.8092458525,"iv_call":0.3563,"iv_put":0.6736} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":44,"c_bid":2.52,"c_ask":3.38,"p_bid":2.18,"p_ask":4.27,"pair_lo":-1.75,"pair_hi":1.2,"naive_residual":-2.6270551875,"div_residual":-0.0209791526,"model_exercise_residual":0.638845532,"naive_outside":true,"american_bound_violation":false,"both_positive_bid":true,"model_diff":0.3848246846,"iv_call":0.2622,"iv_put":0.7309} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":43,"c_bid":3.13,"c_ask":4.85,"p_bid":1.87,"p_ask":2.96,"pair_lo":0.17,"pair_hi":2.98,"naive_residual":-1.7724630242,"div_residual":0.8336130107,"model_exercise_residual":0.8732145211,"naive_outside":true,"american_bound_violation":false,"both_positive_bid":true,"model_diff":1.6146015104,"iv_call":0.3295,"iv_put":0.6634} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":42,"c_bid":3.88,"c_ask":5.05,"p_bid":1.32,"p_ask":2.18,"pair_lo":1.7,"pair_hi":3.73,"naive_residual":-1.6278708608,"div_residual":0.9782051741,"model_exercise_residual":1.1282900593,"naive_outside":true,"american_bound_violation":false,"both_positive_bid":true,"model_diff":2.8650848852,"iv_call":0.2402,"iv_put":0.6087} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":41,"c_bid":4.08,"c_ask":6.75,"p_bid":1.03,"p_ask":2.02,"pair_lo":2.06,"pair_hi":5.72,"naive_residual":-1.4482786975,"div_residual":1.1577973374,"model_exercise_residual":1.3887674148,"naive_outside":false,"american_bound_violation":false,"both_positive_bid":true,"model_diff":4.1209700774,"iv_call":0.2625,"iv_put":0.6299} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":40,"c_bid":4.94,"c_ask":8.25,"p_bid":0.87,"p_ask":1.02,"pair_lo":3.92,"pair_hi":7.38,"naive_residual":-0.6836865341,"div_residual":1.9223895008,"model_exercise_residual":1.6368387368,"naive_outside":false,"american_bound_violation":false,"both_positive_bid":true,"model_diff":5.3644492361,"iv_call":0.3812,"iv_put":0.5609} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":39,"c_bid":6.12,"c_ask":8.78,"p_bid":0.57,"p_ask":0.92,"pair_lo":5.2,"pair_hi":8.21,"naive_residual":-0.6240943707,"div_residual":1.9819816641,"model_exercise_residual":1.8579859164,"naive_outside":false,"american_bound_violation":false,"both_positive_bid":true,"model_diff":6.5810042523,"iv_call":0.3672,"iv_put":0.566} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":38,"c_bid":7.39,"c_ask":9.58,"p_bid":0.37,"p_ask":0.92,"pair_lo":6.47,"pair_hi":9.21,"naive_residual":-0.4845022074,"div_residual":2.1215738275,"model_exercise_residual":2.0430893324,"naive_outside":false,"american_bound_violation":false,"both_positive_bid":true,"model_diff":7.7615155049,"iv_call":0.4305,"iv_put":0.5921} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":37,"c_bid":8.16,"c_ask":10.82,"p_bid":0.28,"p_ask":0.57,"pair_lo":7.59,"pair_hi":10.54,"naive_residual":-0.254910044,"div_residual":2.3511659908,"model_exercise_residual":2.1885068736,"naive_outside":false,"american_bound_violation":false,"both_positive_bid":true,"model_diff":8.9023408828,"iv_call":0.4802,"iv_put":0.5696} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":36,"c_bid":9.02,"c_ask":11.72,"p_bid":0.18,"p_ask":0.47,"pair_lo":8.55,"pair_hi":11.54,"naive_residual":-0.2703178807,"div_residual":2.3357581542,"model_exercise_residual":2.2977110428,"naive_outside":false,"american_bound_violation":false,"both_positive_bid":true,"model_diff":10.0069528886,"iv_call":0.4499,"iv_put":0.5778} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":261016,"strike":35,"c_bid":9.91,"c_ask":13.01,"p_bid":0,"p_ask":0.52,"pair_lo":9.39,"pair_hi":13.01,"naive_residual":-0.1107257173,"div_residual":2.4953503175,"model_exercise_residual":2.3756723281,"naive_outside":false,"american_bound_violation":false,"both_positive_bid":false,"model_diff":11.0803220106,"iv_call":0.5596,"iv_put":null} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":260918,"strike":60,"c_bid":0,"c_ask":0.57,"p_bid":15.09,"p_ask":17.05,"pair_lo":-17.05,"pair_hi":-14.52,"naive_residual":-2.0269842132,"div_residual":0.5790918216,"model_exercise_residual":-0.0014973083,"naive_outside":true,"american_bound_violation":false,"both_positive_bid":false,"model_diff":-16.3655891299,"iv_call":null,"iv_put":null} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":260918,"strike":55,"c_bid":0,"c_ask":0.17,"p_bid":10.6,"p_ask":12.02,"pair_lo":-12.02,"pair_hi":-10.43,"naive_residual":-2.4593188621,"div_residual":0.1467571727,"model_exercise_residual":0.009413172,"naive_outside":true,"american_bound_violation":false,"both_positive_bid":false,"model_diff":-11.3623440007,"iv_call":null,"iv_put":1.6898} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":260918,"strike":50,"c_bid":0.18,"c_ask":0.33,"p_bid":5.42,"p_ask":7.27,"pair_lo":-7.09,"pair_hi":-5.09,"naive_residual":-2.316653511,"div_residual":0.2894225238,"model_exercise_residual":0.203347084,"naive_outside":true,"american_bound_violation":false,"both_positive_bid":true,"model_diff":-6.1760754398,"iv_call":0.4262,"iv_put":1.2523} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative

Sep4 indicative paired quotes collectedSep7. Last underlying trade46.15, not executableNBBO. Conservative American band S-PV(D)-K to S-Kexp(-rT),D2.61,td13.729167/365,r.04. No-div European residual and dividend-adjusted residual at pairmid; flags compare fulloptionbidaskinterval. Exercise differential from escrowCRR sigma.408179926. {"expiry":260918,"strike":49,"c_bid":0.27,"c_ask":0.63,"p_bid":4.28,"p_ask":6.07,"pair_lo":-5.8,"pair_hi":-3.65,"naive_residual":-1.9501204408,"div_residual":0.655955594,"model_exercise_residual":0.3214074325,"naive_outside":true,"american_bound_violation":false,"both_positive_bid":true,"model_diff":-5.0595481616,"iv_call":0.4389,"iv_put":1.0913} https://runway.adityaperswal.workers.dev/data/option-chain/FRO?feed=indicative