You own a portfolio of 100,000 shares of Standard & Poors depository receipts (SPDRs). Each share trades at 113.18. The returns of the S&P 500 index have a historical annualized standard deviation of 20 percent and the continuously compounded interest rate is 2 percent. Assume that the S&P 500 index does not pay any dividends. Suppose that the expected return of the S&P 500 index is 7 percent and that the beta is 1.

1. What is the Black-Scholes value of a European call option on SPDRs with a one year expiration period and an exercise price of 100?
2. What is the Black-Scholes value of a European put option on SPDRs with a one year expiration period and an exercise price of 100?