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QUESTION
Given the following market data: Samp;P 500 index = 2,680 1-month Samp;P500 call option with strike price $2700 trades at $45.05 Current 1-year...
Given the following market data:
S&P 500 index = 2,680
1-month S&P500 call option with strike price $2700 trades at $45.05
Current 1-year T-bill yield = 1.2%
What is the implied volatility of the S&P500, i.e. at what level is the VIX?
- 22.5%
- 18.5%
- 25.6%
- 17.2%
- 30.1%
