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Please Solve for d1 only - formula is posted below. S_0 is last price for SPX - can't figure out X input Macro Variables: begin{tabular}{lr|}
Please Solve for d1 only - formula is posted below.
S_0 is last price for SPX - can't figure out X input
Macro Variables: \begin{tabular}{lr|} \hline Risk-Free Rate & 3.67% \\ Time to maturity & 0.0040 \\ \hline 90 & 105 \\ \hline X_100 & 115 \\ \hline SPX_histVOL & 8.12% \\ \hline \end{tabular} \begin{tabular}{|l|r|rrr|rrr|} \hline & SPX & Call_90 & Call_100 & Call_110 & Put_90 & Put_100 & Put_110 \\ Last Price & 104.9329 & 9.5147 & 0.7265 & 0.0500 & 0.0500 & 0.5559 & 10.5475 \\ Bid Price & 104.9329 & 9.5128 & 0.7264 & 0.0500 & 0.0500 & 0.5558 & 10.5454 \\ Ask Price & 104.9539 & 9.5147 & 0.7265 & 0.0500 & 0.0500 & 0.5559 & 10.5475 \\ Bid Quantity & 903 & 586 & 1,166 & 452 & 459 & 253 & 848 \\ Ask Quantity & 1,330 & 1,771 & 1,353 & 2,199 & 2,482 & 1,961 & 1,796 \\ \hline \end{tabular} Portfolio: \begin{tabular}{lc} \hline USD & 1,005,637 \\ SPX & \\ SPX_90_c & \\ SPX_100_c & \\ SPX_110_c & \\ SPX_90_p & \\ SPX_100_p & \\ SPX_110_p & \\ \hline \end{tabular} Call_90 d1=Tln(S0/X)+(rc+2/2)T Macro Variables: \begin{tabular}{lr|} \hline Risk-Free Rate & 3.67% \\ Time to maturity & 0.0040 \\ \hline 90 & 105 \\ \hline X_100 & 115 \\ \hline SPX_histVOL & 8.12% \\ \hline \end{tabular} \begin{tabular}{|l|r|rrr|rrr|} \hline & SPX & Call_90 & Call_100 & Call_110 & Put_90 & Put_100 & Put_110 \\ Last Price & 104.9329 & 9.5147 & 0.7265 & 0.0500 & 0.0500 & 0.5559 & 10.5475 \\ Bid Price & 104.9329 & 9.5128 & 0.7264 & 0.0500 & 0.0500 & 0.5558 & 10.5454 \\ Ask Price & 104.9539 & 9.5147 & 0.7265 & 0.0500 & 0.0500 & 0.5559 & 10.5475 \\ Bid Quantity & 903 & 586 & 1,166 & 452 & 459 & 253 & 848 \\ Ask Quantity & 1,330 & 1,771 & 1,353 & 2,199 & 2,482 & 1,961 & 1,796 \\ \hline \end{tabular} Portfolio: \begin{tabular}{lc} \hline USD & 1,005,637 \\ SPX & \\ SPX_90_c & \\ SPX_100_c & \\ SPX_110_c & \\ SPX_90_p & \\ SPX_100_p & \\ SPX_110_p & \\ \hline \end{tabular} Call_90 d1=Tln(S0/X)+(rc+2/2)TStep by Step Solution
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