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

 

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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 Option Price $150 $331.45 $200 $281.20 $300 $181.50 $350 $133.87 $400 $85.00 $460 $36.45 $480 $24.80 $500 $16.10 $650 $0.39 $750 $0.09 Implied Volatility Question 2 (35 points) Use the NVIDIA Corp. dataset posted on Brightspace to value a 6-month call option with a $480 strike price. The current 6-month T-bill rate is 5.45%. For So, use the most recent price from the spreadsheet. You will need to calculate the stock's volatility from the data (slide 10 from the Ch. 15 notes). Find the value of the option (using the Black-Scholes-Merton model) if you calculate the volatility using the entire year of data, the last 9 months (meaning the most recent 9 months), the last 6 months, the last 3 months and the last 1 month of returns to calculate volatility, and put your numbers in the table below. Data for o calculation Last 12 Months Last 9 Months Last 6 Months Last 3 Months Last 1 Month Option Price Comment on your findings, and pick which value you would use if you had to pick one, and why. c=S N(d)-Ke N(d) p = Ke -rT where d d 2 = = N(-d) - S N(-d) 02 +r+ T 2 In(Sc) + K In (Sc) + K T 02 +r T 2 = d-oT n Take stock price observations So, S, . . ., S at intervals of 7 years (e.g. for weekly data we would use 7 = 1/52) Calculate the continuously compounded return in each interval as: u = In S. S. i i-1 Calculate the standard deviation, s, of the The historical volatility estimate is: S = u; S 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 Option Price $150 $331.45 $200 $281.20 $300 $181.50 $350 $133.87 $400 $85.00 $460 $36.45 $480 $24.80 $500 $16.10 $650 $0.39 $750 $0.09 Implied Volatility Question 2 (35 points) Use the NVIDIA Corp. dataset posted on Brightspace to value a 6-month call option with a $480 strike price. The current 6-month T-bill rate is 5.45%. For So, use the most recent price from the spreadsheet. You will need to calculate the stock's volatility from the data (slide 10 from the Ch. 15 notes). Find the value of the option (using the Black-Scholes-Merton model) if you calculate the volatility using the entire year of data, the last 9 months (meaning the most recent 9 months), the last 6 months, the last 3 months and the last 1 month of returns to calculate volatility, and put your numbers in the table below. Data for o calculation Last 12 Months Last 9 Months Last 6 Months Last 3 Months Last 1 Month Option Price Comment on your findings, and pick which value you would use if you had to pick one, and why. c=S N(d)-Ke N(d) p = Ke -rT where d d 2 = = N(-d) - S N(-d) 02 +r+ T 2 In(Sc) + K In (Sc) + K T 02 +r T 2 = d-oT n Take stock price observations So, S, . . ., S at intervals of 7 years (e.g. for weekly data we would use 7 = 1/52) Calculate the continuously compounded return in each interval as: u = In S. S. i i-1 Calculate the standard deviation, s, of the The historical volatility estimate is: S = u; S