Using the parameters in the header of Table 5.1, except for the drift, and analyze the OTM call trade (85 strike) for various values of drift; for example μ = 0.02, μ = 0.04, and μ = 0.06.

Data given in Table 5.1

Table 5.1 Gain expectation for put and call options for the calls: So = $80, T = 20(days), p=8%, r = 1%, o = 20% Trade Strike Price Time Amt Prob. of Prob. of Ex- (strike VS value at total a gain pected p/c) stock loss (%) (%) gain ITM ATM risk 75 call 5.18 0.18 5.18 80 call 1.52 1.52 1.52 85 call OTM 0.18 0.18 0.18 8 47 89 51 37 10 9 47 91 0.283 0.161 0.034 for the puts: So = $80, T = 20(days), = -4%, r = 1%, o = 20% 85 put ITM 5.14 0.14 5.14 51 0.188 80 put ATM 1.47 1.47 1.47 37 0.110 75 put OTM 0.14 0.14 0.14 9 0.019 Gain rate (%) 100 193 344 67 137 249