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
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.
Transcribed Image Text: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.
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