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The $55-strike call is priced at $1.20. Suppose the price of the stock moved up from $50 to $52. For this $55-strike call what would
The $55-strike call is priced at $1.20. Suppose the price of the stock moved up from $50 to $52. For this $55-strike call what would be its (approximate) updated price if it got priced at the same implied volatility (19%) as before?
Current stock price for XYZ $50.00 Interest rate 3% Dividend rate 0% Delta Option Strike Expiration Option Price Implied Vol (4Option/AS) PUT $30.00 6-months $0.14 40% -0.023 PUT $40.00 6-months $0.77 32% -0.123 PUT $50.00 6-months $2.74 22% -0.431 PUT $50.75 6-months $2.97 21% -0.470 CALL $50.00 6-months $3.48 22% 0.569 CALL $50.75 6-months $2.97 21% 0.530 CALL $55.00 6-months $1.20 19% 0.299 CALL $60.00 6-months $0.15 15% 0.065Step by Step Solution
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