Today is February 8, 2021, and GameStop Corp.' stock is trading for USD 59.04 in the spot
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Question:
A) Calculate the implied volatility for each option and describe the pattern that you observe. Is this pattern surprising to you? Does it contravene the law of one price in the option market? Please, discuss briefly.
B) Calculate the delta, gamma, vega, theta, and rho of each option. Present your results in a neat table displaying each Greek in a separate column.
C) Assume that you are short 10 contracts of each call option contract and long 10 contracts of each put option and calculate the Greeks of your portfolio.
Related Book For
Corporate Finance A Focused Approach
ISBN: 978-1439078082
4th Edition
Authors: Michael C. Ehrhardt, Eugene F. Brigham
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