Fair value settlement CE options

While we are reaching the last stages of the acquisition of CE by Staples, speculators with Euronext listed options, may want to check what will happen with their positions, when they don't liquidate them before the end of the acceptance period. In this case positions will be settled with the so called fair value method, which is explained in this article. Information with respect to volatility and dividend assumptions can be found here. Readers should not be intimidated by the option valuation model that is applied by Euronext. A standard Black & Scholes model, adjusted for dividend, will give a fairly correct estimate of the fair value. It will also show that, after transaction costs, there are not many opportunities left to take advantage of this acquisition. (end of post)