Question
From your analysis above, develop a delta neutral strategy for the period 26/02/2021 to 12/03/2021 to speculate/arbitrage on volatility. Explain how the strategy will work,
From your analysis above, develop a delta neutral strategy for the period 26/02/2021 to 12/03/2021 to 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 rebalancing.
SONIC HEALTHCARE'S ANNUAL HISTORICAL VOLATILITY WITH 1-YEAR IMPLIED VOLATILITY (CALL OPTION) 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 2016/3/25 2016/5/23 2016/7/19 2016/9/14 2016/11/10 2017/1/6 2017/3/6 2017/5/2 2019/1/23 2019/3/21 2019/5/17 2019/7/15 2019/9/10 2019/11/6 2020/1/2 2020/2/28 2020/4/27 2020/6/23 2020/8/19 2020/10/15 2020/12/11 2021/2/8 SONIC HEALTHCARE - HISTORICAL VOLATILITY 1 YEAR SONIC HEALTHCARE CONTINUOUS CALL - IMPLIED VOL(ATM) Stock Price of CALL DELTA 2021/2/26 2021/3/1 2021/3/2 2021/3/3 2021/3/4 2021/3/5 2021/3/8 2021/3/9 2021/3/10 2021/3/11 2021/3/12 31.73 31.85 31.76 31.83 31.42 31.32 31.03 30.70 30.55 30.49 31.28 CALL PRICE (AUD) Strike (X) 35 Expiration date: 15/07/2021 0.24849 0.25247 0.24471 0.2474 0.22216 0.21587 0.19474 0.19872 0.18907 0.18565 0.22201 0.63 0.635 0.605 0.61 0.53 0.51 0.44 0.455 0.425 0.415 0.51 SONIC HEALTHCARE'S ANNUAL HISTORICAL VOLATILITY WITH 1-YEAR IMPLIED VOLATILITY (CALL OPTION) 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 2016/3/25 2016/5/23 2016/7/19 2016/9/14 2016/11/10 2017/1/6 2017/3/6 2017/5/2 2019/1/23 2019/3/21 2019/5/17 2019/7/15 2019/9/10 2019/11/6 2020/1/2 2020/2/28 2020/4/27 2020/6/23 2020/8/19 2020/10/15 2020/12/11 2021/2/8 SONIC HEALTHCARE - HISTORICAL VOLATILITY 1 YEAR SONIC HEALTHCARE CONTINUOUS CALL - IMPLIED VOL(ATM) Stock Price of CALL DELTA 2021/2/26 2021/3/1 2021/3/2 2021/3/3 2021/3/4 2021/3/5 2021/3/8 2021/3/9 2021/3/10 2021/3/11 2021/3/12 31.73 31.85 31.76 31.83 31.42 31.32 31.03 30.70 30.55 30.49 31.28 CALL PRICE (AUD) Strike (X) 35 Expiration date: 15/07/2021 0.24849 0.25247 0.24471 0.2474 0.22216 0.21587 0.19474 0.19872 0.18907 0.18565 0.22201 0.63 0.635 0.605 0.61 0.53 0.51 0.44 0.455 0.425 0.415 0.51Step by Step Solution
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Health Care Finance Economics And Policy For Nurses
Authors: Betty Rambur
2nd Edition
0826152538, 978-0826152534
