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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.