Question 6 . Protective Put ( 10 marks ) Suncor Energy Inc . ( SU ) shares are listed on the New York Stock Exchange . At 9:30 a . m . on January 14 , 2016 , these shares sold for $ 21 85 per share . The volatility on the returns of Suncor shares is approximately 24% . The following call and put option contracts were available for the months of January , February , and March CALLS Strike / Expiry January 22 , 2016 February 19 , 2016 March 18 , 2016 23 0. 34 0.72 0.96 Lu 0.13 0. 41 0. 69 IN NIE 0.26 0.40 PUTS Strike / Expiry January 22 , 2016 February 19 March 18 , 2016 2016 72 LIED 2 01 2.14 21 2.63 2.80 2.92 25 3.60 3.70 3. 95 Each option contract involves 100 shares . The risk-free rates for these three expiration dates are 0 .6 % , 1% , and 1 2% . All three rates are continuously compounded