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I'm pricing call options at the moment and seeing how call option prices change depending solely on the periods of volatility. In one case the stock changes every month, the other it changes every week and the last case the stock changes every day.

From my pricing, the price of the call option increases with the number of periods. That is the price of a call option where the stock changes every month is higher than the price of a call option on the same stock but changing every week instead.

I was wondering if this made sense, since I figured the more periods the more volatility and the higher the price.

Thank you!

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  • sorry I got it wrong, the price of the call option DECREASES with the number of periods.
    – J0fClubz
    Commented Mar 22, 2021 at 20:52
  • Are you annualizing the volatility? How do the volatilities compare across time periods? Do you see a larger annualized vol for shorter time periods?
    – D Stanley
    Commented Mar 22, 2021 at 21:01
  • It's hard to know what your're asking because it's not clear what you are analyzing. For an accurate answer, provide the details of the options you are analyzing (strike price and expiration) as well as the specifics of the volatility change.
    – Bob Baerker
    Commented Mar 22, 2021 at 21:30

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