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(k) In the simulator, the underlying product will have a major announcement tomorrow morning. Nominate and describe a possible highly protable option portfolio you could

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(k) In the simulator, the underlying product will have a major announcement tomorrow morning. Nominate and describe a possible highly protable option portfolio you could construct today, given that you think that the announcement will have a signicant (5%) effect on the stock price? What would be the worst-case scenario for this position? Why would you lose money if this scenario occurred? What would then be expected happen to volatility after the announcement? (15 marks)

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