Here are some price quotes, at 12:01pm today, and then a bit later at 1:01pm today:...

 

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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 25 30 35 40 45 50 55 0.0000 0.0045 0.3392 2.6810 7.0914 12.0036 16.9528 12:01 PM 12:59PM Call 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 Call 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 (o) of the underlying share at the two points in time. 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 25 30 35 40 45 50 55 0.0000 0.0045 0.3392 2.6810 7.0914 12.0036 16.9528 12:01 PM 12:59PM Call 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 Call 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 (o) of the underlying share at the two points in time.

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