Question
BYD electronic Day Price Geometric return STD Dev Volatility 23-Apr 45.6 0.024418527 0.02567146 40.752% 22-Apr 44.5 -0.003365118 21-Apr 44.65 -0.017758513 20-Apr 45.45 -0.022839492 19-Apr 46.5
BYD electronic | ||||
Day | Price | Geometric return | STD Dev | Volatility |
23-Apr | 45.6 | 0.024418527 | 0.02567146 | 40.752% |
22-Apr | 44.5 | -0.003365118 | ||
21-Apr | 44.65 | -0.017758513 | ||
20-Apr | 45.45 | -0.022839492 | ||
19-Apr | 46.5 | 0.055262679 | ||
16-Apr | 44 | 0.00113701 | ||
15-Apr | 43.95 | 0.007995474 | ||
14-Apr | 43.6 | 0.004597709 | ||
13-Apr | 43.4 | -0.01939593 | ||
12-Apr | 44.25 | -0.031148236 | ||
9-Apr | 45.65 |
Assume you had sold a 1-month at-the-money put option(for 1000shares) on your second stock (i.e. the stock based on the last numerical digit of your Student ID). Based on the same set of data from part (a), what would be your worst payoff in one month at 99% confidence level?
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