The main variables necessary to evaluate an option's value were: o Risk Free Rate o Underlying asset's current price o Option exercise price o Time to expiration o Volatility of price of the underlying asset o Any dividends that will be paid if you held the stock o If a PUT, then the value of the Call option, based on the above. Then the pricing model(s) give you a value for the option. However... That seems pretty silly, since the price of the option is readily available! If we can assume that the Market is efficient, then isn't the price of the option actually what the Market says it is? In fact, all of the variables are readily available already, with the exception of the underlyings volatility, which seems to be a "guess." Not only that, but the value of the option is extremely sensitive to the estimate of volatility So, what value is this