Whale Options

Anyone familiar with Whale Options (or even heard of them)? If so, could you please point me to some reference material? I have a side project at work to research this option type and have not been able to find much on the internet. To start, I’m just looking for basic info to compare and contrast with other option types. Only thing I have is that are somewhat similar to quanto options and that they trade on the ISE. Thanks!

They are amortized options. "Amortised options, sometimes referred to as Whale options, where the payoff is typically given as the difference between the average asset price over the averaging period and the strike price (typically given as a percentage of the underlying price) as a ratio over the average asset price. "

I didn’t know that… Anyway, what do you need to know? They are pretty similar to Asian options and you can probably mess around with the pricing derivation for Asian options to get the formula for whale options (I haven’t tried, of course, since I just heard about whale options).

Thanks for the info, guys. I am basically doing some fact finding 1st on their characteristics and then try to figure out how to price them. I did google it and saw Chuckrox8’s description, but didn’t see much else. I’ll post when I come up with something. Thanks again.

Yeah what I posted was the only thing that came up in my search so I’m guessing they aren’t too popular or widely traded. If you find some good links post them, I’d like to read more about them.

I’m short whales. Seas are being ravaged.

I’m long whale tail though. There seems to be more and more of that.

So for giggles I did the pricing problem last night. The trick is to see that you really have an Asian option divided by an Asian option with strike 0. That means you can do the change of numeraire trick (which I think you have to use twice - once from dollars into assets and then into strike 0 Asian options) and follow your nose. The best I could get was something like the price is the solution to some pde which I can’t solve (cuz I suck at solving pde’s or no explicit solution exists).

aren’t they the result of “keg trolling” and “beer goggling”

I was really hoping this thread was going to find a way to bring the team back to Hartford.