CALLS Jan 12 '18 (41 days) PUTS 12.35 0.00 12.45 13.10 05 23.28% 0.8184 ▾ 160 ▾ 10.14 0.00 10.35 11.00 01 22.25% 0.7714 ་ 162.5 ་ ་ 1.30 0.00 1.18 1.33 0 260 22.44% -0.175 1.64 0.00 1.60 1.75 09 21.65% -0.225 8.45 0.00 8.55 8.85 015 21.28% 0.7133 ▾ 165 ▾ 2.30 0.00 2.17 2.31 6.70 0.00 6.80 7.05 00 20.58% 0.6427 ▾ 167.5 ▾ 3.15 0.00 2.89 3.05 0 10 0 107 20.96 % -0.2865 20.31% -0.359 5.23 0.00 5.30 5.55 4.10 0.00 3.95 4.10 0 234 0 283 20.30 % 0.5619 19.55 % 0.4763 ▼ 170 ▼ 4.25 0.00 3.80 4.00 0 406 19.72 % -0.4412 ▾ 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 0.00 8.05 8.35 00 18.90 % -0.703 1.57 0.00 1.50 1.59 0 25 1.09 0.00 1.04 1.18 0 14 19.46 % 0.2417 19.73 % 0.1853 ་ 180 11.67 182.5 0.00 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? 4 points b) What is the implied volatility of the 172.5 strike calls 4 points c) What is the implied volatility of the 182.5 strike calls? 4 points 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. 6 points. (you can find implied volatility calculators online or download from John Hulls website). 2
CALLS Jan 12 '18 (41 days) PUTS 12.35 0.00 12.45 13.10 05 23.28% 0.8184 ▾ 160 ▾ 10.14 0.00 10.35 11.00 01 22.25% 0.7714 ་ 162.5 ་ ་ 1.30 0.00 1.18 1.33 0 260 22.44% -0.175 1.64 0.00 1.60 1.75 09 21.65% -0.225 8.45 0.00 8.55 8.85 015 21.28% 0.7133 ▾ 165 ▾ 2.30 0.00 2.17 2.31 6.70 0.00 6.80 7.05 00 20.58% 0.6427 ▾ 167.5 ▾ 3.15 0.00 2.89 3.05 0 10 0 107 20.96 % -0.2865 20.31% -0.359 5.23 0.00 5.30 5.55 4.10 0.00 3.95 4.10 0 234 0 283 20.30 % 0.5619 19.55 % 0.4763 ▼ 170 ▼ 4.25 0.00 3.80 4.00 0 406 19.72 % -0.4412 ▾ 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 0.00 8.05 8.35 00 18.90 % -0.703 1.57 0.00 1.50 1.59 0 25 1.09 0.00 1.04 1.18 0 14 19.46 % 0.2417 19.73 % 0.1853 ་ 180 11.67 182.5 0.00 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? 4 points b) What is the implied volatility of the 172.5 strike calls 4 points c) What is the implied volatility of the 182.5 strike calls? 4 points 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. 6 points. (you can find implied volatility calculators online or download from John Hulls website). 2
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
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Transcribed Image Text:CALLS
Jan 12 '18 (41 days)
PUTS
12.35
0.00 12.45 13.10
05
23.28% 0.8184
▾
160
▾
10.14
0.00 10.35 11.00
01
22.25% 0.7714
་
162.5
་ ་
1.30
0.00
1.18 1.33
0 260
22.44% -0.175
1.64
0.00 1.60 1.75
09
21.65%
-0.225
8.45
0.00 8.55 8.85
015
21.28% 0.7133
▾
165
▾
2.30
0.00 2.17
2.31
6.70
0.00 6.80
7.05
00
20.58% 0.6427
▾
167.5
▾
3.15
0.00 2.89 3.05
0 10
0 107
20.96 % -0.2865
20.31%
-0.359
5.23
0.00
5.30 5.55
4.10
0.00
3.95
4.10
0 234
0 283
20.30 % 0.5619
19.55 % 0.4763
▼
170
▼
4.25
0.00 3.80 4.00
0 406
19.72 % -0.4412
▾
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
0.00 8.05 8.35
00
18.90 %
-0.703
1.57
0.00 1.50 1.59
0 25
1.09
0.00 1.04 1.18
0 14
19.46 % 0.2417
19.73 % 0.1853
་
180
11.67
182.5
0.00
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? 4 points
b) What is the implied volatility of the 172.5 strike calls 4 points
c) What is the implied volatility of the 182.5 strike calls? 4 points
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. 6 points.
(you can find implied volatility calculators online or download from John Hulls
website).
2
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