Question
Assignment: Download some futures prices with at least 6 expirations, and 6 call optionprices on the same underlying. Data are available, for example, from the
Assignment: Download some futures prices with at least 6 expirations, and 6 call optionprices on the same underlying. Data are available, for example, from the CME-NYMEXwebsite. Then answer the following questions.1) For the futures prices, calculate the difference between the price today (called thespot price) of the underlying and the forward prices that you have downloaded: Forward price spot priceThis difference is called the forward premium. You should calculate 6 of themcorresponding to the 6 expirations. What do these numbers tell you about the futureof spot prices? How do you know?2) For the options quotes data that you downloaded, provide a brief summary of therange of strike prices, maturities and premia that you found.3) In the form of a table, report which options are out-of-the money and which arein-the-money. Calculate the moneyness of each option.4) Calculate the insurance value of each option.
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