Name	QANTAS AIRWAYS - HISTORICAL VOLATILITY 1 YEAR	QANTAS AIRWAYS CONTINUOUS CALL - IMPLIED VOL(ATM)	QANTAS AIRWAYS CONTINUOUS PUT - IMPLIED VOL(ATM)	STOCK PRICE	CALL OPTION DELTA	CALL PRICE	PUT OPTION DELTA	PUT PRICE	EXERCISE PRICE	EXPIRATION
3/10/2020	0.3074	0.6792	0.6552	4.45	0.5501	0.53	-0.4696	0.44	4.50	6/25/2020
3/11/2020	0.3213	0.6719	0.6711	4.04	0.4024	0.28	-0.6000	0.73	4.50	6/25/2020
3/12/2020	0.3369	0.8967	0.9425	3.64	0.2771	0.16	-0.9964	0.86	4.50	6/25/2020
3/13/2020	0.3614	0.8959	1.1441	3.18	0.1444	0.06	-0.7787	1.44	4.50	6/25/2020
3/16/2020	0.3646	1.0168	1.4734	3.02	0.1956	0.11	-0.8048	1.58	4.50	6/25/2020
3/17/2020	0.3673	1.2648	1.3792	2.86	0.1427	0.07	-0.8265	1.73	4.50	6/25/2020
3/18/2020	0.3863	1.4921	1.6332	2.53	0.1870	0.11	-0.8638	2.03	4.50	6/25/2020
3/19/2020	0.4196	1.7564	1.7413	2.14	0.1372	0.07	-0.8794	2.41	4.50	6/25/2020
3/20/2020	0.4316	1.7922	1.8040	2.36	0.2129	0.13	-0.8201	2.24	4.50	6/25/2020
3/23/2020	0.4323	1.7488	1.8246	2.41	0.2225	0.14	-0.7739	2.23	4.50	6/25/2020
3/24/2020	0.4385	1.7695	1.7244	2.59	0.2366	0.16	-0.7604	2.07	4.50	6/25/2020
3/25/2020	0.4978	1.3826	1.4733	3.27	0.3532	0.31	-0.6475	1.53	4.50	6/25/2020

Q1) Develop a delta neutral strategy for the period 10/03/2020 to 25/03/2020 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. (9 points)

Q2) At the end of the period, close all the positions and evaluate the effectiveness of your strategy.