Consider the March 2010 $5 put option on JetBlue, maturing on March 19, 2010, listed in Table . Assume that the volatility of JetBlue is 67.3% per year and its beta is 0.82. The short-term risk-free rate of interest is 2.03% per year. a. What is the beta of the put option? b. What is the put option's leverage ratio? c. If the expected risk premium of the market is 6%, what is the expected return of the put option based on the CAPM? d. Given its expected return, why would an investor buy a put option? Use a 365-day year. a. What is the beta of the put option? The beta of the March 2010 $5 put option is (Round to two decimal - X Data Table 21.1 JetBlue Option Quotes 5.03 +0.11 Vol 7335887 09 @ 17:17 ET Bid 5.03 Ask 5.04 Size 168 x 96 Bid Ask Vol Open Int Puts Bid Ask Vol Open Int 47 6 5865 259 6433 0 $5.00 (JGQ LA) $.00 (JGOLF .00 (JGQ AA) .00 (JGQ AF) .00 (JGQ AI) $.00 (JGQ CA $.00 (JGO CF) 700 (JGQ CG) 0 10 0 0.80 0.45 0.85 0.50 0.05 1.05 0.65 0.40 2 125 28 0 0.90 0.55 1.00 0.60 0.15 1.15 0.75 0.50 09 Dec 5.00 (JGO XA) 09 Dec 6.00 (JGQ XF) 10 Jan 5.00 (JGQ MAI 10 Jan 6.00 (JGQ MF) 10 Jan 9.00 (JGQ MI) 10 Mar 5.00 (JGQ OA) 10 Mar 6.00 (JGO OF) 10 Mar 700 (JGQ OG) 0.80 1.40 0.85 1.45 4.00 1.00 1.60 2.30 0.90 1.50 0.95 1.55 4.10 1.10 1.70 2.45 1000 84 14737 22 0 40 0 818 50 146 3 | 10 10 41 0 Enter your answer in the answer box and then click Check Answer. Print Done Help Me Solve This View an Example Get More eck Consider the March 2010 $5 put option on JetBlue, maturing on March 19, 2010, listed in Table . Assume that the volatility of JetBlue is 67.3% per year and its beta is 0.82. The short-term risk-free rate of interest is 2.03% per year. a. What is the beta of the put option? b. What is the put option's leverage ratio? c. If the expected risk premium of the market is 6%, what is the expected return of the put option based on the CAPM? d. Given its expected return, why would an investor buy a put option? Use a 365-day year. a. What is the beta of the put option? The beta of the March 2010 $5 put option is (Round to two decimal - X Data Table 21.1 JetBlue Option Quotes 5.03 +0.11 Vol 7335887 09 @ 17:17 ET Bid 5.03 Ask 5.04 Size 168 x 96 Bid Ask Vol Open Int Puts Bid Ask Vol Open Int 47 6 5865 259 6433 0 $5.00 (JGQ LA) $.00 (JGOLF .00 (JGQ AA) .00 (JGQ AF) .00 (JGQ AI) $.00 (JGQ CA $.00 (JGO CF) 700 (JGQ CG) 0 10 0 0.80 0.45 0.85 0.50 0.05 1.05 0.65 0.40 2 125 28 0 0.90 0.55 1.00 0.60 0.15 1.15 0.75 0.50 09 Dec 5.00 (JGO XA) 09 Dec 6.00 (JGQ XF) 10 Jan 5.00 (JGQ MAI 10 Jan 6.00 (JGQ MF) 10 Jan 9.00 (JGQ MI) 10 Mar 5.00 (JGQ OA) 10 Mar 6.00 (JGO OF) 10 Mar 700 (JGQ OG) 0.80 1.40 0.85 1.45 4.00 1.00 1.60 2.30 0.90 1.50 0.95 1.55 4.10 1.10 1.70 2.45 1000 84 14737 22 0 40 0 818 50 146 3 | 10 10 41 0 Enter your answer in the answer box and then click Check Answer. Print Done Help Me Solve This View an Example Get More eck