Go to the Connect site for this book, Chapter 23, and find there a spreadsheet containing monthly values of the S& P 500 index. Suppose that in each month you had written an out- of- the- money put option on one unit of the index with an exercise price 5 percent lower than the current value of the index.
a. What would have been the average value of your gross monthly payouts on the puts over the 10- year period October 1977– September 1987? The standard deviation?
b. Now extend your sample by one month to include October 1987, and recalculate the average payout and standard deviation of the put- writing strategy. What do you conclude about tail risk in naked put writing?

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