Call/Put (ATM) = Sigma * S/ sqrt(2*Pi)
= Sigma0 * Sqrt(t) * S/sqrt(2*Pi)
= 0.4*S*Sigma0*Sqrt(t)
C/S = 0.4*Sigma0*Sqrt(t)
3 Month ATM:
Call/Put = Sigma0 * S / 5 = 0.2 * Sigma0 * S
SPX Call/Put Option ATM with Sigma0 = 20%:
Call/Put = 0.04 * S
