ALL THE INFORMATION HAS BEEN GIVEN
4 Using the prices below check to see if put-call parity holds for the October 2002 options with K=45. The prices below are closing prices on 9/13/02. Equity options expire on the third Friday of the expiration month. The annualized 3 month T-Bill rate on 9/13/02 was 1.645%. If it doesn't hold, give some reasons why. Microsft (MSFT). 40 Expiration Strike Sep Oct Jan Apr Sep Oct Jan Apr Sep Oct Jan Last 7.4 8.3 10.5 11.6 3.1 5 7.1 8.8 0.35 1.85 45 45 45 45 50 50 50 Underlying stock price*: 47.91 Put Openhter Last Volume est 0.05 49 6137 0.85 2412 26305 2.55 111 20298 3.9 250 758 0.35 7491 28435 1.85 769 22082 4.1 1507 30475 5.7 6 1261 2.5 4121 18871 4.1 2095 18245 779 53261 Call Openhter Volume est 26 750 70 1860 10 3218 20 24 3386 13422 392 5825 15 5956 12 142 4546 43800 2719 23976 321 36773 4.3 6.4 Now using the more detailed prices below, check to see if there is a violation of put-call parity. Calls Bid Ask Vol Open Int Puts Bid Last Sale Ask Vol Open Int Last Sale 1.85 5 4.9 5.1 115 1.45 1.6 20 22196 02 Oct 45.00 566902 Oct 45.00 4 Using the prices below check to see if put-call parity holds for the October 2002 options with K=45. The prices below are closing prices on 9/13/02. Equity options expire on the third Friday of the expiration month. The annualized 3 month T-Bill rate on 9/13/02 was 1.645%. If it doesn't hold, give some reasons why. Microsft (MSFT). 40 Expiration Strike Sep Oct Jan Apr Sep Oct Jan Apr Sep Oct Jan Last 7.4 8.3 10.5 11.6 3.1 5 7.1 8.8 0.35 1.85 45 45 45 45 50 50 50 Underlying stock price*: 47.91 Put Openhter Last Volume est 0.05 49 6137 0.85 2412 26305 2.55 111 20298 3.9 250 758 0.35 7491 28435 1.85 769 22082 4.1 1507 30475 5.7 6 1261 2.5 4121 18871 4.1 2095 18245 779 53261 Call Openhter Volume est 26 750 70 1860 10 3218 20 24 3386 13422 392 5825 15 5956 12 142 4546 43800 2719 23976 321 36773 4.3 6.4 Now using the more detailed prices below, check to see if there is a violation of put-call parity. Calls Bid Ask Vol Open Int Puts Bid Last Sale Ask Vol Open Int Last Sale 1.85 5 4.9 5.1 115 1.45 1.6 20 22196 02 Oct 45.00 566902 Oct 45.00
