S&P 500 Index is at 2780. A European June 21, 2019 SPX call option struck at...

 

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S&P 500 Index is at 2780. A European June 21, 2019 SPX call option struck at 2500 is trading at $316.94. An identical put is trading at $55.15. A T-bill with 200 days to maturity is quoted at a yield of 2.46. a. From the T-bill, calculate the discount factor b. Use the discount factor from part a to check the lower- bound condition for the call and the put c. Use the discount factor from part a to check put-call parity. d. Design a zero-net-investment strategy exploiting the violation of the put-call parity assuming it is genuine. S&P 500 Index is at 2780. A European June 21, 2019 SPX call option struck at 2500 is trading at $316.94. An identical put is trading at $55.15. A T-bill with 200 days to maturity is quoted at a yield of 2.46. a. From the T-bill, calculate the discount factor b. Use the discount factor from part a to check the lower- bound condition for the call and the put c. Use the discount factor from part a to check put-call parity. d. Design a zero-net-investment strategy exploiting the violation of the put-call parity assuming it is genuine.

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