The March 2024-April 2024 Natural Gas spread is $.291/MMBTU. The volatility of the spread is $.15 (annualized).

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The March 2024-April 2024 Natural Gas spread is $.291/MMBTU. The volatility of the spread is $.15 (annualized). The interest rate is 4 percent. An option on the March 24-April 24 spread expires on 2/26/2024. Use the Bachelier model to value an option on the spread that has a strike price of $.30/MMBTU. (5 points)

(b) The June 2024 Natural Gas futures price is $2.426/MMBTU. The volatility of the June price is 68 percent. An event ("bet") call option struck at $2.43 expires tomorrow. If the futures price settles at $2.43 or higher tomorrow, you will receive $.50/MMBTU. What is the price of the event option? What is the probability that you will win your bet if you buy the option

Posted Date: May 09, 2024 02:47 AM

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The March 2024-April 2024 Natural Gas spread is $.291/MMBTU. The volatility of the spread is $.15 (annualized).

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