aghh damn it ..BLK is up a lot today I wish I had bought it last weekfrom my testing C2S has less time sensitivity. An actionable strategy assuming C2S model is valid is to buy options with as little time value as possible, such as weeklies.pricing the BLK June 22th calls There's 5 days until expirationlooking at the 1-year chart, BLK peaked at 300 before falling to 277.5 (present price) in a one month period (or about 20 trading days)The average daily volume is 7.5*10^5The average order size is about 2*10^3 ( taking the average daily volume and dividing by the number of minutes in a trading day)[$]\sqrt{5 \times 7.5 \times 10^5 \times 2 \times 10^3}=\frac{20 \times 7.5 \times 10^5\sigma_p \ln(1+\sigma_p/277.5)}{(300-277.5)(2+\ln(1+\sigma_p/277.5))}[$]Solving [$]\sigma_p=8.7[$][$]C= \int_{p_{strike}}^{\infty}(x-p_{strike}) \phi\left (\frac{x - 277.5}{\sigma_p}\right )\, dx[$]sample values[$]p_{strike}=260=$17.5[$][$]p_{strike}=270=$8.4[$][$]p_{strike}=280=$2.36[$][$]p_{strike}=290=$.29[$]Pricing July 20th options is harder because there is an earnings report on the 17th that has to be factored into the price