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A 3 month call option is struck ATM. Annual vol is 20%. The trade is for $100M. Using the rule of thumb, what is the

A 3 month call option is struck ATM. Annual vol is 20%. The trade is for $100M. Using the rule of thumb, what is the approximate value of the call option?

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Rule of Thumb BS(S=S,T=1,K=S,r=0,o=o) = .4 & Notional Rule of Thumb BS(S=S,T=1,K=S,r=0,o=o) = .4 & Notional

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