Question: Prublem Set 2 (Please submit to Census on. Wednesday, July 2? before midnight.) Implied Volatility. Replicate the Implied Volatility Smile Figure on Page 12 of

Prublem Set 2 (Please submit to Census on. Wednesday, July 2? before midnight.) Implied Volatility. Replicate the Implied Volatility Smile Figure on Page 12 of LN3, using current Call options data on the 33.513500 (SPX) maturing on January 20, 20-23. Please state the assunlptions you make, if any, to compute the time to maturity of the options, that is the value of T that you use in your formulas. I Current Options Data can he found at the following link: https : Hm. oboe. com/delayed_quot esfspx/quotejable To calculate option prices Lee the average of the bid and ask prices to amid liquidity issues. Choose Size = 10 and Expiration = January 2023. The table will display several maturi ties but you'll only need to choose 10 SPX options maturing on January 3}, 2023. Note that the current 33.513500 index value is on the top light corner of the table where it says \"Last:****,**\". - 1You can use the federal reserve website (link below] to retrieve the value of the risk free rate. Use the 'Il'easury Constant Maturity (TOM) rate that most. closely matches the maturity of the options. Note that TCM are compounded annually, so he sure to make the relevant adjLstments. Please report the value of the rate that you use. http: {lune . f ederah'eserve . gcvfreleas es fhlEfCurrentf - The dividend yield can be estimated using the following link: https : flycharts . ccmfindicat crsfsp_500_dividend_yield 1You can estimate the dividend yield as the average dividend yield over the last available 12 months. Note that even though 33.513500 prices (P) are reported monthly, dividends (D) are annualized, so % gives the effective animal dividend yield. Be sure to make the relevant compounding adjustments and report the dividend yield that you use

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