The table above shows the prices for Apple Calls and Puts with expiration of January 12, 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). CALLS Jan 12 '18 (41 days) PUTS 12.35 0.00 12.45 13.10 05 23.28 % 0.8184 160 ་ 1.30 10.14 8.45 6.70 5.23 0.00 0.00 10.35 11.00 0.00 8.55 8.85 0.00 6.80 7.05 5.30 5.55 01 22.25% 0.7714 162.5 1.64 0.00 1.18 1.33 0.00 1.60 1.75 0 15 4.10 0.00 3.95 4.10 3.03 0.00 2.94 3.10 00 0 234 0 283 0 132 21.28% 0.7133 20.58% 0.6427 20.30 % 0.5619 19.55% 0.4763 19.60 % 0.3919 165 2.30 0.00 2.17 2.31 0 260 09 0 10 22.44% -0.175 21.65 % -0.225 20.96 % -0.2865 167.5 3.15 0.00 2.89 3.05 0 107 20.31 % -0.359 2.16 0.00 2.11 2.24 037 19.45 % 0.3119 1.57 0.00 1.50 1.59 1.09 0.00 1.04 1.18 0 25 0 14 ་ ་ ་ ་ ་ 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 175 8.25 0.00 6.40 6.65 05 19.07 % -0.6189 177.5 8.80 0.00 8.05 8.35 00 18.90 % -0.703 19.46 % 0.2417 180 11.67 0.00 9.95 10.25 00 18.89% -0.777 19.73 % 0.1853 182.5 0.00 0.00 11.85 12.70 0 0 19.66 % -0.8285
The table above shows the prices for Apple Calls and Puts with expiration of January 12, 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). CALLS Jan 12 '18 (41 days) PUTS 12.35 0.00 12.45 13.10 05 23.28 % 0.8184 160 ་ 1.30 10.14 8.45 6.70 5.23 0.00 0.00 10.35 11.00 0.00 8.55 8.85 0.00 6.80 7.05 5.30 5.55 01 22.25% 0.7714 162.5 1.64 0.00 1.18 1.33 0.00 1.60 1.75 0 15 4.10 0.00 3.95 4.10 3.03 0.00 2.94 3.10 00 0 234 0 283 0 132 21.28% 0.7133 20.58% 0.6427 20.30 % 0.5619 19.55% 0.4763 19.60 % 0.3919 165 2.30 0.00 2.17 2.31 0 260 09 0 10 22.44% -0.175 21.65 % -0.225 20.96 % -0.2865 167.5 3.15 0.00 2.89 3.05 0 107 20.31 % -0.359 2.16 0.00 2.11 2.24 037 19.45 % 0.3119 1.57 0.00 1.50 1.59 1.09 0.00 1.04 1.18 0 25 0 14 ་ ་ ་ ་ ་ 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 175 8.25 0.00 6.40 6.65 05 19.07 % -0.6189 177.5 8.80 0.00 8.05 8.35 00 18.90 % -0.703 19.46 % 0.2417 180 11.67 0.00 9.95 10.25 00 18.89% -0.777 19.73 % 0.1853 182.5 0.00 0.00 11.85 12.70 0 0 19.66 % -0.8285
Chapter9: Accounting For Receivables
Section: Chapter Questions
Problem 9EA: Using the following select financial statement information from Black Water Industries, compute the...
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Transcribed Image Text:The table above shows the prices for Apple Calls and Puts with expiration of January 12, 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).
CALLS
Jan 12 '18 (41 days)
PUTS
12.35
0.00 12.45 13.10
05
23.28 % 0.8184
160
་
1.30
10.14
8.45
6.70
5.23
0.00
0.00 10.35 11.00
0.00 8.55 8.85
0.00 6.80 7.05
5.30 5.55
01
22.25% 0.7714
162.5
1.64
0.00 1.18 1.33
0.00 1.60
1.75
0 15
4.10
0.00 3.95 4.10
3.03
0.00 2.94
3.10
00
0 234
0 283
0 132
21.28% 0.7133
20.58% 0.6427
20.30 % 0.5619
19.55% 0.4763
19.60 % 0.3919
165
2.30
0.00 2.17 2.31
0 260
09
0 10
22.44% -0.175
21.65 % -0.225
20.96 % -0.2865
167.5
3.15
0.00 2.89 3.05
0 107
20.31 % -0.359
2.16
0.00 2.11 2.24
037
19.45 % 0.3119
1.57
0.00 1.50 1.59
1.09
0.00
1.04
1.18
0 25
0 14
་ ་ ་ ་ ་
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
175
8.25
0.00 6.40 6.65
05
19.07 % -0.6189
177.5
8.80
0.00 8.05 8.35
00
18.90 % -0.703
19.46 % 0.2417
180
11.67
0.00 9.95 10.25
00
18.89% -0.777
19.73 % 0.1853
182.5
0.00
0.00 11.85 12.70
0 0
19.66 % -0.8285
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