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The below table shows the list of prices for puts expiring in 30 days (T = 1/12). Using the put option with a strike price
The below table shows the list of prices for puts expiring in 30 days (T = 1/12). Using the put option with a strike price of $235, estimate the level of the VIX index.
K | p |
230 | 2.14 |
231 | 2.37 |
232 | 2.62 |
233 | 2.91 |
234 | 3.23 |
235 | 3.60 |
236 | 4.01 |
237 | 4.47 |
238 | 4.95 |
Other parameters you'll need:
s0 = $234.35 r = 0.74% T = 1/12 years
(required precision 0.01 +/- 0.01)
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