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Implied yield volatility for at-the-money Dec 20 Eurodollar options currently equals 40%. These options expire in 300 days (12/14/20) and the current December futures price
Implied yield volatility for at-the-money Dec 20 Eurodollar options currently equals 40%. These options expire in 300 days (12/14/20) and the current December futures price suggests that the market expects 3-month LIBOR to equal 1.40% on that date. Based on current implied volatility, (approximately) what is the likelihood that 3-month LIBOR will be above 1.90% on 12/14/20? Implied yield volatility for at-the-money Dec 20 Eurodollar options currently equals 40%. These options expire in 300 days (12/14/20) and the current December futures price suggests that the market expects 3-month LIBOR to equal 1.40% on that date. Based on current implied volatility, (approximately) what is the likelihood that 3-month LIBOR will be above 1.90% on 12/14/20
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