Choose ONE mispriced option to execute an arbitrage strategy for the period of 16/3/2022 - 14/4/2022. In other words, students should open all relevant position on the 16th of March, and close out all positions on the 14th April 2022. Your report must: Document details of all relevant transaction at the beginning as well as the end of the relevant period. Explain the arbitrage strategy Evaluate the arbitrage results
Timestamp ANZ.AX Ln 2022/4/14 $ 27.42 2022/4/13 $ 27.49 2022/4/12 $ 27.42 2022/4/11 $ 27.70 2022/4/8 $ 27.50 2022/4/7 $ 27.34 2022/4/6 $ 27.36 2022/4/5 $ 27.04 2022/4/4 $ 27.12 2022/4/1 $ 27.18 2022/3/31 $ 27.60 2022/3/30 $ 27.88 2022/3/29 $ 27.87 2022/3/28 $ 27.79 2022/3/25 $ 27.61 2022/3/24 $ 27.72 2022/3/23 $ 27.88 2022/3/22 $ 27.67 2022/3/21 $ 27.58 2022/3/18 $ 27.58 2022/3/17 $ 27.53 2022/3/16 $ 27.17 2022/3/15 $ 26.69 2022/3/14 $ 26.58 2022/3/11 $ 25.85 2022/3/10 $ 25.77 2022/3/9 $ 25.09 2022/3/8 $ 24.82 2022/3/7 $ 25.00 2022/3/4 $ 25.30 2022/3/3 $ 25.61 2022/3/2 $25.61 2022/3/1 $ 26.18 -0.25% 0.25% -1.02% 0.72% 0.58% -0.07% 1.18% -0.30% -0.22% -1.53% -1.01% 0.04% 0.29% 0.65% -0.40% -0.58% 0.76% 0.33% 0.00% 0.18% 1.32% 1.78% 0.41% 2.78% 0.31% 2.67% 1.08% -0.72% - 1.19% -1.22% 0.00% -2.20% 0.65% All options expire on 15th March 2023 Name ANZ CALL PRICE STRIKE PRICE ANZ PUT PRICE STRIKE PRICE ANZ CALL PRICE STRIKE PRICE ANZ PUT PRICE STRIKE PRICE ANZ CALL PRICE STRIKE PRICE ANZ PUT PRICE STRIKE PRICE ANZ CALL PRICE STRIKE PRICE ANZ PUT PRICE STRIKE PRICE ANZ CALL PRICE STRIKE PRICE ANZ PUT PRICE STRIKE PRICE standard deviation u d up probability down probability erT 2022/3/16 2022/4/14 5.32 5.46 22.00 22.00 0.77 22.00 3.08 25.00 1.84 0.58 22.00 3.01 25.00 1.54 25.00 25.00 2.01 1.83 27.00 27.00 2.83 2.44 27.00 27.00 0.99 0.73 30.00 30.00 4.88 4.35 30.00 30.00 0.60 0.37 32.00 32.00 6.54 6.02 32.00 32.00 0.174878169 1.131628266 0.883682416 0.496034696 0.503965304 1.00667216 up Stock price Call payoff Call payoff NODE 2 Call payoff NODE 3 3.93 Call price 1.98 up Stock price Put payoff Put payoff NODE 2. Put payoff NODE 3 Put price 1.45 Node 2 down 34.79342742 7.7934 0.08 Node 2 34.793427 2.90 up 27.170000 0.1700 down up 27.170000 Node3 down 27.17000 0.1700 Node3 down 27.170000 21.216907 21.216907 5.7831 Timestamp ANZ.AX Ln 2022/4/14 $ 27.42 2022/4/13 $ 27.49 2022/4/12 $ 27.42 2022/4/11 $ 27.70 2022/4/8 $ 27.50 2022/4/7 $ 27.34 2022/4/6 $ 27.36 2022/4/5 $ 27.04 2022/4/4 $ 27.12 2022/4/1 $ 27.18 2022/3/31 $ 27.60 2022/3/30 $ 27.88 2022/3/29 $ 27.87 2022/3/28 $ 27.79 2022/3/25 $ 27.61 2022/3/24 $ 27.72 2022/3/23 $ 27.88 2022/3/22 $ 27.67 2022/3/21 $ 27.58 2022/3/18 $ 27.58 2022/3/17 $ 27.53 2022/3/16 $ 27.17 2022/3/15 $ 26.69 2022/3/14 $ 26.58 2022/3/11 $ 25.85 2022/3/10 $ 25.77 2022/3/9 $ 25.09 2022/3/8 $ 24.82 2022/3/7 $ 25.00 2022/3/4 $ 25.30 2022/3/3 $ 25.61 2022/3/2 $25.61 2022/3/1 $ 26.18 -0.25% 0.25% -1.02% 0.72% 0.58% -0.07% 1.18% -0.30% -0.22% -1.53% -1.01% 0.04% 0.29% 0.65% -0.40% -0.58% 0.76% 0.33% 0.00% 0.18% 1.32% 1.78% 0.41% 2.78% 0.31% 2.67% 1.08% -0.72% - 1.19% -1.22% 0.00% -2.20% 0.65% All options expire on 15th March 2023 Name ANZ CALL PRICE STRIKE PRICE ANZ PUT PRICE STRIKE PRICE ANZ CALL PRICE STRIKE PRICE ANZ PUT PRICE STRIKE PRICE ANZ CALL PRICE STRIKE PRICE ANZ PUT PRICE STRIKE PRICE ANZ CALL PRICE STRIKE PRICE ANZ PUT PRICE STRIKE PRICE ANZ CALL PRICE STRIKE PRICE ANZ PUT PRICE STRIKE PRICE standard deviation u d up probability down probability erT 2022/3/16 2022/4/14 5.32 5.46 22.00 22.00 0.77 22.00 3.08 25.00 1.84 0.58 22.00 3.01 25.00 1.54 25.00 25.00 2.01 1.83 27.00 27.00 2.83 2.44 27.00 27.00 0.99 0.73 30.00 30.00 4.88 4.35 30.00 30.00 0.60 0.37 32.00 32.00 6.54 6.02 32.00 32.00 0.174878169 1.131628266 0.883682416 0.496034696 0.503965304 1.00667216 up Stock price Call payoff Call payoff NODE 2 Call payoff NODE 3 3.93 Call price 1.98 up Stock price Put payoff Put payoff NODE 2. Put payoff NODE 3 Put price 1.45 Node 2 down 34.79342742 7.7934 0.08 Node 2 34.793427 2.90 up 27.170000 0.1700 down up 27.170000 Node3 down 27.17000 0.1700 Node3 down 27.170000 21.216907 21.216907 5.7831
