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NOTE: ASSUME Ris free rate of 0 ; 2 5 2 trading days in a year; and Normal distribution for all questions Q 1 .

NOTE: ASSUME Ris free rate of

0

;

252

trading days in a year; and Normal distribution for all questions

1 .

Underlying is trading at $

5200 .

Binary PUT with strike of $

5000

expiring in

9

months is trading at

42

.

What is the implied annual standard deviation?

(10

points

)

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