Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Q4. You observed a stock moves 2% stdev each day usually, except for days of earning announcement. In the latter case, it has a stdev

Q4. You observed a stock moves 2% stdev each day usually, except for days of earning announcement. In the latter case, it has a stdev of 10%. Today is a Friday. You are interested in an option that expires in FOUR weeks. Earning announcement will be on the next Friday.

Q4a. What should be annualized IV now? (4 points)

Q4b. On next Thurday at close, what should be IV? (3 points)

Q4c. On Friday at close, just after ER, what should be IV? (3 points)

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Theory And Practice Of Australian Auditing

Authors: Schelluch Gul, Teoh, Andrew

1st Edition

0170092445, 978-0170092449

More Books

Students also viewed these Accounting questions

Question

Design a health and safety policy.

Answered: 1 week ago