Page 1 of 1
Here are some price quotes, at 12:01pm today, and then a bit later at 1:01pm today: 12:01 PM Put 12:59 PM Put Strike pri
Posted: Mon May 02, 2022 9:32 am
by answerhappygod
- Here Are Some Price Quotes At 12 01pm Today And Then A Bit Later At 1 01pm Today 12 01 Pm Put 12 59 Pm Put Strike Pri 1 (32.34 KiB) Viewed 30 times
Here are some price quotes, at 12:01pm today, and then a bit later at 1:01pm today: 12:01 PM Put 12:59 PM Put Strike price Call Call 25 30 35 40 45 50 55 0.0000 0.0045 0.3392 2.6810 7.0914 12.0036 16.9528 12.7488 7.8030 3.1874 0.5790 0.0391 0.0011 0.0000 0.0000 0.0006 0.2032 2.4961 7.0635 12.0026 16.9527 12.7488 7.7992 3.0515 0.3941 0.0113 0.0001 0.0000 The risk-free rate is .04 and the time to expiration is .25 (3 months). Through the noon hour, the underlying share traded in the range of 36 to 39. Using book formula (24.29) (you can ignore the correction term at the end) and/or the lecture on VIX, determine the volatility (0%) of the underlying share at the two points in time. 12:01 PM 12:59PM