I just repriced both trades from this morning.
Using the latest stock prices and implied volatilities, the GLBE package was worth a $2.63 debit under Black–Scholes, $2.63 under Bjerksund–Stensland and $2.62 under a Cox–Ross–Rubinstein binomial model. I raised the maximum net debit to $2.55.
At $4.03, the SANA 2:1 call ratio was worth a $2.04 debit under e…
