Below is some actual data for call options on Netflix (NFLX) from November 27, 2023. The...

Transcribed Image Text:

Below is some actual data for call options on Netflix (NFLX) from November 27, 2023. The options expire on January 19, 2024. NFLX's most recent closing price was $479.17, and the 1-month treasury rate (risk free rate) is 5.54% (annualized). There are 36 trading days until expiration (assume 252 trading days in the year). Fill in the Implied Volatility column below (you can use the spreadsheet I posted on Blackboard, but I'd encourage you to build your own Black-Scholes-Merton spreadsheet and then use it, it's a good exercise!) Strike Price $150 $200 $300 $350 $400 $460 $480 $500 $650 $750 Option Price $331.45 $281.20 $181.50 $133.87 $85.00 $36.45 $24.80 $16.10 $0.39 $0.09 Implied Volatility Comment on your findings Below is some actual data for call options on Netflix (NFLX) from November 27, 2023. The options expire on January 19, 2024. NFLX's most recent closing price was $479.17, and the 1-month treasury rate (risk free rate) is 5.54% (annualized). There are 36 trading days until expiration (assume 252 trading days in the year). Fill in the Implied Volatility column below (you can use the spreadsheet I posted on Blackboard, but I'd encourage you to build your own Black-Scholes-Merton spreadsheet and then use it, it's a good exercise!) Strike Price $150 $200 $300 $350 $400 $460 $480 $500 $650 $750 Option Price $331.45 $281.20 $181.50 $133.87 $85.00 $36.45 $24.80 $16.10 $0.39 $0.09 Implied Volatility Comment on your findings

Answer rating: 100% (QA)

To calculate the implied volatility using the BlackScholesMerton model we need to iterate through di... View the full answer