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S&P 500 Index is at 2780. A European June 21, 2020 SPX call option struck at 2500 is trading at $316.94. An identical put is
S&P 500 Index is at 2780. A European June 21, 2020 SPX call option struck at 2500 is trading at $316.94. An identical put is trading at $55.15. A T-bill with 200 days to maturity is quoted at a yield of 2.46. Which of the following statements is correct?
Put -call parity is not violated | ||
Put-call parity is violated: call is too cheap relative to the put | ||
Put-call parity is violated: the call is too expensive relative to the put |
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