CALLS Jan 12 '18 (41 days) PUTS 12.35 0.00 12.45 13.10 05 23.28% 0.8184 160 1.30 0.00 1.18 1.33 0 260 22.44% -0.175 10.14 0.00 10.35 11.00 01 22.25% 0.7714 162.5 1.64 0.00 1.60 1.75 09 21.65% -0.225 8.45 0.00 8.55 8.85 0 15 21.28% 0.7133 165 2.30 0.00 2.17 2.31 0 10 20.96 % -0.2865 6.70 0.00 6.80 7.05 00 20.58% 0.6427 167.5 3.15 0.00 2.89 3.05 0 107 20.31 % -0.359 5.23 0.00 5.30 5.55 0 234 20.30 % 0.5619 170 4.25 0.00 3.80 4.00 0 406 19.72 % -0.4412 4.10 0.00 3.95 4.10 0 283 19.55 % 0.4763 172.5 5.05 0.00 5.00 5.20 02 19.39 % -0.5296 3.03 0.00 2.94 3.10 0 132 19.60 % 0.3919 175 8.25 0.00 6.40 6.65 05 19.07 % -0.6189 2.16 0.00 2.11 2.24 037 19.45% 0.3119 ▾ 177.5 8.80 1.57 0.00 1.50 1.59 025 19.46 % 0.2417 180 11.67 0.00 8.05 8.35 0.00 00 18.90% -0.703 1.09 0.00 1.04 1.18 0 14 19.73% 0.1853 182.5 0.00 9.95 10.25 0.00 11.85 12.70 00 18.89 % -0.777 00 19.66 % -0.8285 The table above shows the prices for Apple Calls and Puts with expiration of January 12, 2018. Apple was trading at 171.05 on December 1, 2018 a. What is the implied volatility of the 160 Strike Calls? b. What is the implied volatility of the 172.5 strike calls c. What is the implied volatility of the 182.5 strike calls? Please provide the output of the calculations. Draw the graph of the implied volatilities against strike price of the 3 calls in a,b, and c.
CALLS Jan 12 '18 (41 days) PUTS 12.35 0.00 12.45 13.10 05 23.28% 0.8184 160 1.30 0.00 1.18 1.33 0 260 22.44% -0.175 10.14 0.00 10.35 11.00 01 22.25% 0.7714 162.5 1.64 0.00 1.60 1.75 09 21.65% -0.225 8.45 0.00 8.55 8.85 0 15 21.28% 0.7133 165 2.30 0.00 2.17 2.31 0 10 20.96 % -0.2865 6.70 0.00 6.80 7.05 00 20.58% 0.6427 167.5 3.15 0.00 2.89 3.05 0 107 20.31 % -0.359 5.23 0.00 5.30 5.55 0 234 20.30 % 0.5619 170 4.25 0.00 3.80 4.00 0 406 19.72 % -0.4412 4.10 0.00 3.95 4.10 0 283 19.55 % 0.4763 172.5 5.05 0.00 5.00 5.20 02 19.39 % -0.5296 3.03 0.00 2.94 3.10 0 132 19.60 % 0.3919 175 8.25 0.00 6.40 6.65 05 19.07 % -0.6189 2.16 0.00 2.11 2.24 037 19.45% 0.3119 ▾ 177.5 8.80 1.57 0.00 1.50 1.59 025 19.46 % 0.2417 180 11.67 0.00 8.05 8.35 0.00 00 18.90% -0.703 1.09 0.00 1.04 1.18 0 14 19.73% 0.1853 182.5 0.00 9.95 10.25 0.00 11.85 12.70 00 18.89 % -0.777 00 19.66 % -0.8285 The table above shows the prices for Apple Calls and Puts with expiration of January 12, 2018. Apple was trading at 171.05 on December 1, 2018 a. What is the implied volatility of the 160 Strike Calls? b. What is the implied volatility of the 172.5 strike calls c. What is the implied volatility of the 182.5 strike calls? Please provide the output of the calculations. Draw the graph of the implied volatilities against strike price of the 3 calls in a,b, and c.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Question
Expert Solution
This question has been solved!
Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.
Step by step
Solved in 2 steps
Recommended textbooks for you
Essentials Of Investments
Finance
ISBN:
9781260013924
Author:
Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:
Mcgraw-hill Education,
Essentials Of Investments
Finance
ISBN:
9781260013924
Author:
Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:
Mcgraw-hill Education,
Foundations Of Finance
Finance
ISBN:
9780134897264
Author:
KEOWN, Arthur J., Martin, John D., PETTY, J. William
Publisher:
Pearson,
Fundamentals of Financial Management (MindTap Cou…
Finance
ISBN:
9781337395250
Author:
Eugene F. Brigham, Joel F. Houston
Publisher:
Cengage Learning
Corporate Finance (The Mcgraw-hill/Irwin Series i…
Finance
ISBN:
9780077861759
Author:
Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor
Publisher:
McGraw-Hill Education