Hi All,

Using Jim's strategy that he posted a while back (sorry, I can't remember the post # off the top of my head), of using a smoothed WMA of Price to Book fit to the actual price of BRK-B, and calculating the standard deviation based on the fit (all CPI adjusted), we get the following as of today:

Trendline: 143.2236 (multiplier of smoothed P/BK-Close: 9.74, stdev 11.28)
CPI: 333.918

Nominal BRK-B price: 478.25, Current BRK-B price: 507.35 (BRK-B is above its trendline and should be coming down).

Using the Std-dev of the data: Nominal + 1 STD = 532.2 (CALL Price), Nominal -1 STD = 424.3 (PUT price)

This strategy would probably work better with a log-normal least squares fit to price vs. P/BK, but I haven't coded that into my excel yet. So far, I am just using a ratio of smoothed P/BK to closing price (as per the original post by Jim).

If we look at the Sept. monthly options, the CALL would be the 535 CALL (1.35/1.7), and the PUT would be the 420 PUT (.25/.4). Premiums are not very juicy, but we are only holding for 36 days.

--G