TABLE 20.5 Google Call Option Quotes GOOG Dec 05, 2005 (Closing) 405.85 - 11.85 Vol 10311740 Ask Open Int Calls Bid 2000 YVCATE De la 3100 CABE D8 lan 3D MCAD-E) DB Jan 3300 VCATE 08 Jan 3400 VE AHE 08 Jan 2018 (YVAE 08 Jan 360 NYC AL-E) 08 J700 CAN- OBJan 300 YVE AU- 0839010 YVGAVE 08 Jan 1000 IVV AWET 08 Jan 4100 ICASA 157.60 160 20 353 151.10 153.90 201 144.80 14780 220 138.70 141.90 214 132.90136.10 165 127.20 130.40 209 121.70 124.90 196 116.40 119.50 380 111.40 114.40 123 106.50 109.50 165 102.00 104.60 1131 9730 100.00 214 Source: Chicago Board Options Exchange Using the market data in Table 20.5 and a risk-free rate of 4.5% per annum, calculate the two-year implied volatility of Google stock in December 2005, using the 310 January 2008 call option. TABLE 20.5 Google Call Option Quotes GOOG Dec 05, 2005 (Closing) 405.85 - 11.85 Vol 10311740 Ask Open Int Calls Bid 2000 YVCATE De la 3100 CABE D8 lan 3D MCAD-E) DB Jan 3300 VCATE 08 Jan 3400 VE AHE 08 Jan 2018 (YVAE 08 Jan 360 NYC AL-E) 08 J700 CAN- OBJan 300 YVE AU- 0839010 YVGAVE 08 Jan 1000 IVV AWET 08 Jan 4100 ICASA 157.60 160 20 353 151.10 153.90 201 144.80 14780 220 138.70 141.90 214 132.90136.10 165 127.20 130.40 209 121.70 124.90 196 116.40 119.50 380 111.40 114.40 123 106.50 109.50 165 102.00 104.60 1131 9730 100.00 214 Source: Chicago Board Options Exchange Using the market data in Table 20.5 and a risk-free rate of 4.5% per annum, calculate the two-year implied volatility of Google stock in December 2005, using the 310 January 2008 call option