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QUESTION

The following data are market prices on a given day: callscallscalls puts putsputs Stock strike JUL AUG OCT JUL AUG OCT $165$155 $10.75...

The following data are market prices on a given day:

 calls       calls calls puts  puts           puts

Stock strike   JUL AUG OCT JUL AUG OCT

$165   $155  $10.5   $11.75  $14  $.1875    $1.25     $2.75

$165   $160  $6   $8.125  $11.125   $.75    $2.75   $4.50

$165   $165  $2.6875   $5.25  $8.125   $2.375    $4.75  $6.75

$165    $170   $.8125   $3.25  $6   $5.75    $7.5   $9

The expirations are 41 days for JUL, 72 days for AUG and 163 days for OCT.

The respective simple annual risk-free rates for each expiration period are: .0503,  .0535 and .0571.

The annual volatility of the returns on the underlying stock is s = .21.

Every CBOE option is for 100 shares.

Use DerivaGem and calculate the Greeks of the following strategies:

Q7. 100 Bull spreads with the 165, 170 OCT CBOE puts.

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