Develop a delta neutral strategy for the period 10/03/2020 to 25/03/2020to speculate/arbitrage on volatility. Explain how the strategy will work, and detail all transactions for undertaking the strategy. You can use as much capital as you like, but the cost of capital needs to be considered. Given that the strategy is theoretically risk free, you should not lose any money anyway! You are required to perform at least one re-balancing.

Name

CSL - HISTORICAL VOLATILITY 1 YEAR

CSL CONTINUOUS CALL - IMPLIED VOL(ATM)

CSL CONTINUOUS PUT - IMPLIED VOL(ATM)

STOCK PRICE

CALL OPTION DELTA

CALL PRICE

PUT OPTION DELTA

PUT PRICE

EXERCISE PRICE

EXPIRATION

10/03/2020	0.2249	0.3572	0.3529	308.97	0.5362	21.77	-0.4648	21.69	308.00	25/06/2020
11/03/2020	0.2253	0.3629	0.3628	303.81	0.5059	18.87	-0.4947	22.74	308.00	25/06/2020
12/03/2020	0.2396	0.4855	0.4323	280.51	0.3508	11.48	-0.6619	37.52	308.00	25/06/2020
13/03/2020	0.2638	0.5244	0.4674	313.83	0.5821	33.54	-0.4195	25.00	308.00	25/06/2020
16/03/2020	0.2859	0.6682	0.6888	281.34	0.4158	19.01	-0.5834	45.46	308.00	25/06/2020
17/03/2020	0.2904	0.6266	0.6214	296.90	0.5020	27.25	-0.4985	37.97	308.00	25/06/2020
18/03/2020	0.3043	0.7033	0.7082	271.40	0.3687	15.90	-0.6308	52.25	308.00	25/06/2020
19/03/2020	0.3069	0.6745	0.6770	283.91	0.4368	21.37	-0.5625	45.28	308.00	25/06/2020
20/03/2020	0.3104	0.6882	0.6963	270.88	0.3813	17.61	-0.6137	55.07	308.00	25/06/2020
23/03/2020	0.3125	0.7663	0.6955	282.24	0.4459	23.87	-0.5645	47.44	308.00	25/06/2020
24/03/2020	0.3126	0.6568	0.6636	285.35	0.4431	21.85	-0.5519	45.22	308.00	25/06/2020
25/03/2020	0.3127	0.6075	0.6534	284.36	0.4209	18.56	-0.5692	43.59	308.00	25/06/2020