1. Pick an option on a stock that does not pay a dividend.

(a) Using May or June 2021 options, calculate the implied volatility of the stock using Rf = .005, t=approximate monthly time remaining, and a strike price close to the stock price.

(b) Calculate the theta each day for the next 30 days assuming all other inputs stay the same (note: this is the change in the option price due to the change in time)

(c) Using each days closing price over the last 11 trading days, calculate

(i) the option price each day (using that days stock price and implied volatility from (a))

(ii) the delta for each of the last 11 days

(iii) the gamma for the last 10 days (note: this is the change in the delta so you will only have this for ten days)