Question
The following data are market prices on a given day: callscallscalls puts putsputs Stock strike JUL AUG OCT JUL AUG OCT $165$155 $10.5$11.75 $14$.1875$1.25$2.75 $165$160
The following data are market prices on a given day:
callscallscallsputs putsputs
Stockstrike JULAUGOCTJULAUGOCT
$165$155 $10.5$11.75 $14$.1875$1.25$2.75
$165$160 $6$8.125 $11.125$.75$2.75$4.50
$165$165 $2.6875$5.25 $8.125$2.375$4.75$6.75
$165$170 $.8125$3.25$6$5.75$7.5$9
The expirations are 41 days for JUL, 72 days for AUG and 163 days for OCT.
The respective simple annual risk-free rates for each expiration period are: .0503,.0535 and .0571.
The annual volatility of the returns on the underlying stock is s = .21.
Every CBOE option is for 100 shares.
Use DerivaGem and calculate the Greeks of the following strategies:
Q6.100 Bear spreads with the 155, 170 AUG CBOE calls.
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