The Black Scholes Framework: A Language to Speak

NVIDIA is up almost 200% in 2023. Its realized vol and update is 67.4%. On down days, it's just 37.6%. With this incredibly flat skew, the economics of implementing a collar have gotten very interesting. A stockholder could buy the September 390 put and nearly fully finance it by selling the September 500 call. That would leave the investor exposed to 42 points of downside, but having the chance of realizing 68 points of upside.