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ABC's current stock price is $90, volatility is 50% per year and current risk free rate is 0.2%, if you take a bet on the
ABC's current stock price is $90, volatility is 50% per year and current risk free rate is 0.2%, if you take a bet on the volatility with 6-month at-the-money option, what is the position in the straddle? what is the premium with strategy according to Black-Scholes-Merton model?
If you think the volatility is 65%, will you buy the 6-month call option? what's the profit and risk of the delta-neutral portfolio comprising position in 900 calls and shares.
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