Question 9 (2 points) The following figure shows the implied volatility (in %) surface (left) of Zoom Video Communications Inc. on November 19, 2020. The closing price of the Zoom stock is 413.80. Moneyness is defined as the strike price divided by the current underlying stock price. The top right graph shows the implied volatility of the option with moneyness equal to 100% across different times to maturity. The bottom right graph shows the implied volatility of the options maturing on December 4, 2020 across different strike prices. Which of the following statements is/are correct? ZM US Equity 90) Asset - 91 Actions 92 Views - 93) Settings - Volatilit ZOOM VIDEO COM-A 413.80 USD Bloomberg . Mid As of 15 D Vol Table 2) 3D Surface 3) Term 4) Skew S 5) Dividends6 Prices Moneyness -Listed Local Vol Strikes Match Legend Track View Rotate Pan Zoom Flat Copy Image Volatility vs Term Moneyness 100 Track Annotate Select Copy 105 95 110,00 110.00 85 100.00 100.00 75 90.00 90.00 80.00 80.00 55 20.00 20.00 60.00 15 Jan 2021 18 Jun 2021 17 Jun 2022 29 D 50.00 50.00 Moneyness Term 4 D 80.00 31 Dec 2029 Track Annotate Select Copy 90.01 105 31 Dec 2024 20 Jan 2023 21 Jan 2022 90. 21 May 2021 75. Moneyness 110.06 19 Feb 2021 Term 18 Dec 2020 120.01 20 Nov 2020 90.01 95.01 100.00 105.01 60.00 100.0% 105.08 The Black-Scholes-Merton's formula holds approximately for the options maturing on December 4 with o 100. Investors may believe that the risk-neutral distribution of the stock price on December 4 is close to the normal distribution. Due to the high implied volatility for the December 4 option, it is hard to make a profit by purchasing an at-the-money straddle using the options. One reason why the implied volatility is especially high for the options maturing on December 4 may be that the company is expected to release earnings on November 30 and investors expect that the stock price will move sharply after the earnings release