Current Price of LOGI: Implied Historical Ask Price Delta Vol 100-Day Vol Sept 22 70 Strike...

 

Transcribed Image Text:

Current Price of LOGI: Implied Historical Ask Price Delta Vol 100-Day Vol Sept 22 70 Strike Calls 4.6 0.4316 0.4 160 Sept 22 80 Strike Calls 1.9 0.2292 0.38 0 Sept 22 70 Strike Puts 9.8 -0.5671 0.4 0 Sept 22 60 Strike Puts 4.8. -0.3353 0.45 0 2) (10%) Why is the delta lower for the out-of-the-money options? What explains the higher implied vol of the 60 strike puts? 3) (25%) Does put/call parity hold for the Sept 22 70 Strike Calls and Puts? Using the annualized 1.22% yield for 6-month T-bills as a proxy for the risk-free rate, show your calculations for the put/call parity. (Your equation may be off by a few pennies due to the spread between bid and offer prices). 4) (25%) What are the advantages of out-of-the-money options relative to at-the money options? What are the disadvantages? Current Price of LOGI: Implied Historical Ask Price Delta Vol 100-Day Vol Sept 22 70 Strike Calls 4.6 0.4316 0.4 160 Sept 22 80 Strike Calls 1.9 0.2292 0.38 0 Sept 22 70 Strike Puts 9.8 -0.5671 0.4 0 Sept 22 60 Strike Puts 4.8. -0.3353 0.45 0 2) (10%) Why is the delta lower for the out-of-the-money options? What explains the higher implied vol of the 60 strike puts? 3) (25%) Does put/call parity hold for the Sept 22 70 Strike Calls and Puts? Using the annualized 1.22% yield for 6-month T-bills as a proxy for the risk-free rate, show your calculations for the put/call parity. (Your equation may be off by a few pennies due to the spread between bid and offer prices). 4) (25%) What are the advantages of out-of-the-money options relative to at-the money options? What are the disadvantages?

Answer rating: 100% (QA)

1 The delta of an option is a measure of how much the options price will change in response to a change in the price of the underlying asset For outof... View the full answer