Question
1) The data below summarizes data for call and put options on a stock trading at a current price of $2,761.01. The options all have
1) The data below summarizes data for call and put options on a stock trading at a current price of $2,761.01. The options all have 1 month to expiry and the risk-free rate is 0%.
Calls | Puts | |||||||
IV | Delta | Bid | Ask | Strike | Bid | Ask | Delta | IV |
16.18 | 0.564 | 54.9 | 55.6 | 2,750.00 | 43.9 | 44.7 | -0.441 | 18.04 |
15.98 | 0.547 | 51.6 | 52.4 | 2,755.00 | 45.7 | 46.4 | -0.456 | 17.83 |
15.81 | 0.53 | 48.5 | 49.3 | 2,760.00 | 47.5 | 48.3 | -0.471 | 17.64 |
15.63 | 0.513 | 45.5 | 46.2 | 2,765.00 | 49.4 | 50.2 | -0.487 | 17.44 |
15.43 | 0.495 | 42.5 | 43.2 | 2,770.00 | 50.3 | 52.2 | -0.503 | 17.25 |
15.24 | 0.477 | 36.5 | 37.2 | 2,775.00 | 50.6 | 53.2 | -0.519 | 17.06 |
Identify any options which are mispriced and in each case state clearly what the nature of the mispricing is, and demonstrate how an investor would set up arbitrage to take advantage of the mispricing. If no mispricing exists, then simply summarize the pricing rules tested.
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