Question
In this assignment, you will price an option for Facebook (TICKER:FB) and use the Excel upload file provided for your calculations. You have daily prices
In this assignment, you will price an option for Facebook (TICKER:FB) and use the Excel upload file provided for your calculations. You have daily prices for FB between 4/7/2014 and 4/2/2015.
1. Calculate daily returns, volatility and annualized volatility.
2. Calculate the price of Call option on FB that expires on 4/17/2015. Strike price for the option is 77$. Assume youre calculating price on 4/6/2015 and FB trades at $81.56 on that date.
3. After you calculated the price based on your assumptions you realized that the option trades at 4.81$. Calculate the implied volatility using goal seek. Daily Prices
Date | FB |
4/7/14 | 56.95 |
4/8/14 | 58.19 |
4/9/14 | 62.41 |
4/10/14 | 59.16 |
4/11/14 | 58.53 |
4/14/14 | 58.89 |
4/15/14 | 59.09 |
4/16/14 | 59.72 |
4/17/14 | 58.94 |
4/21/14 | 61.24 |
4/22/14 | 63.03 |
4/23/14 | 61.36 |
4/24/14 | 60.87 |
4/25/14 | 57.71 |
4/28/14 | 56.14 |
4/29/14 | 58.15 |
4/30/14 | 59.78 |
5/1/14 | 61.15 |
5/2/14 | 60.46 |
5/5/14 | 61.22 |
5/6/14 | 58.53 |
5/7/14 | 57.39 |
5/8/14 | 56.76 |
5/9/14 | 57.24 |
5/12/14 | 59.83 |
5/13/14 | 59.83 |
5/14/14 | 59.23 |
5/15/14 | 57.92 |
5/16/14 | 58.02 |
5/19/14 | 59.21 |
5/20/14 | 58.56 |
5/21/14 | 60.49 |
5/22/14 | 60.52 |
5/23/14 | 61.35 |
5/27/14 | 63.48 |
5/28/14 | 63.51 |
5/29/14 | 63.83 |
5/30/14 | 63.3 |
6/2/14 | 63.08 |
6/3/14 | 62.87 |
6/4/14 | 63.34 |
6/5/14 | 63.19 |
6/6/14 | 62.5 |
6/9/14 | 62.88 |
6/10/14 | 65.77 |
6/11/14 | 65.78 |
6/12/14 | 64.29 |
6/13/14 | 64.5 |
6/16/14 | 64.19 |
6/17/14 | 64.4 |
6/18/14 | 65.6 |
6/19/14 | 64.34 |
6/20/14 | 64.5 |
6/23/14 | 65.37 |
6/24/14 | 65.72 |
6/25/14 | 67.44 |
6/26/14 | 67.13 |
6/27/14 | 67.6 |
6/30/14 | 67.29 |
7/1/14 | 68.06 |
7/2/14 | 66.45 |
7/3/14 | 66.29 |
7/7/14 | 65.29 |
7/8/14 | 62.76 |
7/9/14 | 64.97 |
7/10/14 | 64.87 |
7/11/14 | 66.34 |
7/14/14 | 67.9 |
7/15/14 | 67.17 |
7/16/14 | 67.66 |
7/17/14 | 66.41 |
7/18/14 | 68.42 |
7/21/14 | 69.4 |
7/22/14 | 69.27 |
7/23/14 | 71.29 |
7/24/14 | 74.98 |
7/25/14 | 75.19 |
7/28/14 | 74.92 |
7/29/14 | 73.71 |
7/30/14 | 74.68 |
7/31/14 | 72.65 |
8/1/14 | 72.36 |
8/4/14 | 73.51 |
8/5/14 | 72.69 |
8/6/14 | 72.47 |
8/7/14 | 73.17 |
8/8/14 | 73.06 |
8/11/14 | 73.44 |
8/12/14 | 72.83 |
8/13/14 | 73.77 |
8/14/14 | 74.3 |
8/15/14 | 73.63 |
8/18/14 | 74.59 |
8/19/14 | 75.29 |
8/20/14 | 74.81 |
8/21/14 | 74.57 |
8/22/14 | 74.57 |
8/25/14 | 75.02 |
8/26/14 | 75.96 |
8/27/14 | 74.63 |
8/28/14 | 73.86 |
8/29/14 | 74.82 |
9/2/14 | 76.68 |
9/3/14 | 75.83 |
9/4/14 | 75.95 |
9/5/14 | 77.26 |
9/8/14 | 77.89 |
9/9/14 | 76.67 |
9/10/14 | 77.43 |
9/11/14 | 77.92 |
9/12/14 | 77.48 |
9/15/14 | 74.58 |
9/16/14 | 76.08 |
9/17/14 | 76.43 |
9/18/14 | 77 |
9/19/14 | 77.91 |
9/22/14 | 76.8 |
9/23/14 | 78.29 |
9/24/14 | 78.54 |
9/25/14 | 77.22 |
9/26/14 | 78.79 |
9/29/14 | 79 |
9/30/14 | 79.04 |
10/1/14 | 76.55 |
10/2/14 | 77.08 |
10/3/14 | 77.44 |
10/6/14 | 77.56 |
10/7/14 | 76.29 |
10/8/14 | 77.52 |
10/9/14 | 75.91 |
10/10/14 | 72.91 |
10/13/14 | 72.99 |
10/14/14 | 73.59 |
10/15/14 | 73.21 |
10/16/14 | 72.63 |
10/17/14 | 75.95 |
10/20/14 | 76.95 |
10/21/14 | 78.69 |
10/22/14 | 78.37 |
10/23/14 | 80.04 |
10/24/14 | 80.67 |
10/27/14 | 80.28 |
10/28/14 | 80.77 |
10/29/14 | 75.86 |
10/30/14 | 74.11 |
10/31/14 | 74.99 |
11/3/14 | 73.88 |
11/4/14 | 75.76 |
11/5/14 | 74.83 |
11/6/14 | 75.26 |
11/7/14 | 75.6 |
11/10/14 | 75 |
11/11/14 | 74.61 |
11/12/14 | 74.72 |
11/13/14 | 74.25 |
11/14/14 | 74.88 |
11/17/14 | 74.24 |
11/18/14 | 74.34 |
11/19/14 | 73.33 |
11/20/14 | 73.6 |
11/21/14 | 73.75 |
11/24/14 | 74.01 |
11/25/14 | 75.63 |
11/26/14 | 77.62 |
11/28/14 | 77.7 |
12/1/14 | 75.1 |
12/2/14 | 75.46 |
12/3/14 | 74.88 |
12/4/14 | 75.24 |
12/5/14 | 76.36 |
12/8/14 | 76.52 |
12/9/14 | 76.84 |
12/10/14 | 76.18 |
12/11/14 | 77.73 |
12/12/14 | 77.83 |
12/15/14 | 76.99 |
12/16/14 | 74.69 |
12/17/14 | 76.11 |
12/18/14 | 78.4 |
12/19/14 | 79.88 |
12/22/14 | 81.45 |
12/23/14 | 80.61 |
12/24/14 | 80.77 |
12/26/14 | 80.78 |
12/29/14 | 80.02 |
12/30/14 | 79.22 |
12/31/14 | 78.02 |
1/2/15 | 78.45 |
1/5/15 | 77.19 |
1/6/15 | 76.15 |
1/7/15 | 76.15 |
1/8/15 | 78.18 |
1/9/15 | 77.74 |
1/12/15 | 76.72 |
1/13/15 | 76.45 |
1/14/15 | 76.28 |
1/15/15 | 74.05 |
1/16/15 | 75.18 |
1/20/15 | 76.24 |
1/21/15 | 76.74 |
1/22/15 | 77.65 |
1/23/15 | 77.83 |
1/26/15 | 77.5 |
1/27/15 | 75.78 |
1/28/15 | 76.24 |
1/29/15 | 78 |
1/30/15 | 75.91 |
2/2/15 | 74.99 |
2/3/15 | 75.4 |
2/4/15 | 75.63 |
2/5/15 | 75.61 |
2/6/15 | 74.47 |
2/9/15 | 74.44 |
2/10/15 | 75.19 |
2/11/15 | 76.51 |
2/12/15 | 76.23 |
2/13/15 | 75.74 |
2/17/15 | 75.6 |
2/18/15 | 76.71 |
2/19/15 | 79.42 |
2/20/15 | 79.9 |
2/23/15 | 78.84 |
2/24/15 | 78.45 |
2/25/15 | 79.56 |
2/26/15 | 80.41 |
2/27/15 | 78.97 |
3/2/15 | 79.75 |
3/3/15 | 79.6 |
3/4/15 | 80.9 |
3/5/15 | 81.21 |
3/6/15 | 80.01 |
3/9/15 | 79.44 |
3/10/15 | 77.55 |
3/11/15 | 77.57 |
3/12/15 | 78.93 |
3/13/15 | 78.05 |
3/16/15 | 78.07 |
3/17/15 | 79.36 |
3/18/15 | 80.91 |
3/19/15 | 82.75 |
3/20/15 | 83.8 |
3/23/15 | 84.43 |
3/24/15 | 85.31 |
3/25/15 | 82.92 |
3/26/15 | 83.01 |
3/27/15 | 83.3 |
3/30/15 | 83.2 |
3/31/15 | 82.22 |
4/1/15 | 81.67 |
4/2/15 | 81.56 |
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