Calculate the volatility and the current price of oil futures implied by the call 1600 August and
Question:
Calculate the volatility and the current price of oil futures implied by the call 1600 August and the call 1700 August of Figure 19.8 by using the Black-Scholes formula with \(T=.25\).
Transcribed Image Text:
OIL CRUDE OIL (NYM) 1,000 BBLS.; $ PER BBL. Strike Calls-Settle Puts-Settle Price Jun Jly Aug Jun Jly Aug 0.04 0.21 0.42 Jun July na 0.10 0.36 0.59 Aug na 0.60 0.82 Sept na Dec Jun Dec 1600 1.33 1.21 1.29 1650 0.86 0.86 0.97 1700 0.51 0.58 0.70 0.22 1750 0.25 0.40 0.50 0.46 0.90 1800 0.11 0.25 0.34 0.82 1.25 1850 0.04 0.16 0.24 Est vol 3,794 Wed 18,173 calls 8,785 puts Op int Wed 211,586 calls 170,881 puts FIGURE 19.8 Quotes of oil future options and oil futures. Volatility can be estimated option prices. Risk-neutral probabilities can be determined directly from futures market prices. METALS AND PETROLEUM Lifetime Open High Low Settle Chg High Low CRUDE OIL, Light Sweet (NYM) 1,000 bbls.; $ per bbl. 16.84 17.30 16.78 17.29.43 21.35 14.02 17.02 16.60 17.00 +.35 20.78 14.15 Open Interest 124,032 73,360 16.90 16.56 16.88 +.30 20.78 14.35 34,123 16.81 16.57 16.83 +27 20.78 14.50 28,809 16.57 16.80 16.55 16.80 +23 21.25 14.93 16.90 16.87 16.87 16.96 +.18 21.21 15.73 17.18.16 20.80 16.50 28,690 17,396 10,793 Jan 17.40 17.58 17.40 17.43 + .14 20.26 17.22 14,698 Dec ...... 17.73.13 20.40 17.53 19,072
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Answer rating: 100% (QA)
Answered By
Muhammad Umair
I have done job as Embedded System Engineer for just four months but after it i have decided to open my own lab and to work on projects that i can launch my own product in market. I work on different softwares like Proteus, Mikroc to program Embedded Systems. My basic work is on Embedded Systems. I have skills in Autocad, Proteus, C++, C programming and i love to share these skills to other to enhance my knowledge too.
3.50+
1+ Reviews
10+ Question Solved
Related Book For
Question Posted:
Students also viewed these Business questions
-
Pricing Call and Put Options: In the text we mentioned contracts called call and put options as examples of somewhat more sophisticated ways in which one can take a short or long position in the...
-
KYC's stock price can go up by 15 percent every year, or down by 10 percent. Both outcomes are equally likely. The risk free rate is 5 percent, and the current stock price of KYC is 100. (a) Price a...
-
Refer to Figure 24.11 in the text to answer this question. Suppose you purchase an August 2012 call option on crude oil futures with a strike price of 8500 cents per barrel. How much does your option...
-
In an organization, leaders treat employees as ends when they ______. Multiple choice question. restrict employees' choices allow employees to create their own purposes assume that the employees'...
-
For tax planning purposes, should an estate or a trust adopt a calendar or a fiscal tax year? Why? In no more than four PowerPoint slides, describe the rules that apply to fiduciary tax years....
-
Land Patent O Fair market value $100,000 Adjusted basis Fair market value 50,000 What gain or loss should the corporation recognize as a result of the distribution?
-
Great Western Bank has offered a special certificate of deposit (CD) tied to the S\&P 500. Funds are deposited into the account at the beginning of a month and are held in the account for 3 years....
-
On June 1, ACL International, a U.S. confectionery products manufacturer, purchases on account bulk chocolate from a Swiss supplier for 166,667 Swiss francs (CHF) when the spot rate is $0.90 = CHF 1....
-
A company achieved annual sales of 1,000 units last year, charging $25 for each unit. It costs the company $10 to produce each unit (average variable cost) whilst fixed cost was $5,000. a) Calculate...
-
A company issues a \(10 \%\) coupon bond that matures in 5 years. However, this company is in trouble, and it is estimated that each year there is a probability of .1 that it will default that year....
-
Suppose that in the double stochastic Simplico gold mine example the real probability of an up move in gold is 6 and the real probability of an up move in the short rate is .7. Suppose also that gold...
-
Jaelle is a senior payroll administrator for Jericho Home Design. The company has 15 employees and annual revenues of $50 million. She has been using and maintaining manual payroll records for the...
-
Discuss the interrelationships among the three major financial statements and measurement devices and their application to financial management by using a real-world business example. Please cite the...
-
What are the pros and cons of using preferred and convertible instruments as investments? How would you use them to strengthen your portfolio? What situation would you use each one in? Why? ( well...
-
You started a company that manufactures belts and sells them for $200 each. If you need to sell 2000 belts per month to break even and fixed costs per month are $30000, what is the variable cost per...
-
Izzy has been married to her wife(she/her/hers), white woman who also identifies as part of the LGBTIA+ community, for 2 years and they are expecting their first child. Neither Izzy nor her wife...
-
Explain what an arbitrageur would do in the following circumstances. $/SF exchange rate is $.51/SF, the Swiss risk-free rate is 4% per year, the US risk free rate is 6% per year, and a SF Call option...
-
The Nova laser at Lawrence Livermore National Laboratory in California is used in studies of initiating controlled nuclear fusion (Section 45.4). It can deliver a power of 1.60 X 1013 W over a time...
-
Use the method of Example 4.29 to compute the indicated power of the matrix. 1 0 1
-
Allegion shows strengths in terms of ROA, ROE, and historical positive trends in cash, receivables, and property, plant & equipment. However, there are concerns about the substantial increases in...
-
Pharmacy Consulting is a privately held regional provider based in Ohio, with revenues of $25 million annually, and whose services include pharmacy, nursing and dietary nutrition care. Key client...
-
ASSA ABLOY's debt situation was good. Their debt decreased from 2018 to 2020 but increased significantly in the years following. According to Buffett, ASSA ABLOY is not a durable, competitive company...
Study smarter with the SolutionInn App