3. [20 marks] Below are the current market data for stock option of Company ABC in Stock Exchange. Today = T Current Stock price on T (5} : 21.35 Day Count Convention : Act I 360 Stock Option Style = American Stock option conversion ratio: 1 option = 1 share Call/Put Time to Expiry Strike Price [5) Call 90 days 23.00 0.80 Put 90 days 21.00 1.25 a) [8 points] Please (i) indicate the moneyness and (ii) compute the time value of above 2 options? Show all your calculation clearly. b) [3 points] Based on the given market data, investor would like to execute 1 unit of long Strangle strategy on T, please (i) list out the buy/sell of reSpective option(s) in the market to construct this strategy, (ii) the cost of constructing this strategy and (iii) explain the expectation of this strategy deployment. c) [9 points] After investor had constructed the 1 unit long Strangle strategy on T, the observed stock price outcomes at 4PM of last working day of each week before option expiry shown in below. Stock Stock Price Outcomes at 4PM of last working day of each gee week before option expiry 3100 29.00 27.00 25.00 25.00 23. 21.35 21.00 19.00 17.00 15.00:[||-[i|||-|-|I Today123455789101112 Time (in Week) e~Stock Price {5} Based on the above observed stock price outcomes of each week, please indicate which week(s) the investor could close out his long Strangle position with prot via option exercising at 4PM? Please show your calculation clearly to justify your choice(s). (Assumption: The Stock Exchange rule is that American stock option can be exercised at any time before option market closing 5PM daily. Ignore the transaction cost.)