Instructions: Use Bloomberg or Factset to help with the following ques- tions. Either obtain screenshots from Bloomberg or Factset, or briefly explain how you would do each problem.

1. Look up options for an equity ticker. What strikes are available? What expiration dates are available? What are the multipliers for the options? Which strikes are at the money, in the money, or out of the money?

2. Look up an option written on the SP500 index which expires in 12 months. What is the risk-free rate that is being used? Compare this with the 12mo. LIBOR rate and the 12mo. US Bond yield.

3. Look up options for a commodity. Compare the implied volatilities for a particular strike with varying expiration dates. Compare the implied volatilities for a particular expiration date with varying strikes. (It would be cool if you could plot these)

4. Through experimentation, try to answer the following as ATM, ITM, OTM. Which options have highest vega? Which options have highest delta (in absolute value)? Which options have highest gamma?

5. By considering different expiration dates, which options seem to have high- est theta (in absolute value)?

6. Use the options calculator in Factset or Bloomberg to calculate the greeks for a European Put option written on GOOG with strike 1050 with expi- ration in February 2018.

7. Create a short butterfly strategy for some underlying asset. Which options are used? What are the break-even points? Why might this be better than a short straddle?

8. Modify the attached spreadsheet from 11/22/2017 to calculate implied volatility for some call option.

Spreadsheet:

Tab 1 (Newton's Method)

Tab 2 (Guess and Check)

Real-Time Price of a Security Real-Time Price of an Option Risk-Free Rate Time-Remaining Strike 25