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.
Survey of Accounting (Accounting I)
8th Edition
ISBN:9781305961883
Author:Carl Warren
Publisher:Carl Warren
Chapter11: Cost-volume-profit Analysis
Section: Chapter Questions
Problem 11.5.1MBA: Margin of safety Using the data from P11-2, determine the following for 20Y5. Margin of safety for...
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