Question: 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

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
Step by Step Solution
3.39 Rating (155 Votes )
There are 3 Steps involved in it
To calculate the implied volatility using the BlackScholesMerton model we need to iterate through di... View full answer
Get step-by-step solutions from verified subject matter experts
