FIN416 American Option Trading Project The requirements and detail information is in the files.The spreadsheet also is required. I have a example for the s
FIN416 American Option Trading Project The requirements and detail information is in the files.The spreadsheet also is required. I have a example for the spreadsheet.please go though it carefully. American Option Trading Project
Due by spreadsheet attached to e-mail
1. Goal of project:
Estimation of fair value of an American option,
comparison of this value with the market price of the option, decision
to trade (buy or sell or sell-short), and closure of the option after a
holding period of at least one day to determine profits.
There should
be at least 30 option trades and a project report in the format given below.
2. Data:
Take following data generated for 15 calls and 15 puts with
strike prices, rates of interest and years to maturity, and market prices
of options on the opening day or trade day (first day of holding period)
and the market prices of the options on the end of the closing period.
Following these data are 32 prices of 15 underlying stocks on which the
15 pairs of calls and puts are written.
These prices are prior to the
trading date with the 32nd stock price (on row 32) as the price as of the
close of the day before the trading date and the 1st stock price (on first
row) as the price as of 32 days prior to the trading date.
The data needed
to calculate fair value of an option include the following:
i)
Strike price.
There are 15 strike prices for each of the 15
pairs of calls and puts.
ii)
Years to maturity (Mat), the same for the call and put written
on the same stock.
iii)
Yield to maturity (Rate) on a T-bill or any other zero-coupon
Treasury bond with a date of maturity close to maturity of
the option.
iv)
15 such interest rates are given.
Market prices of the options on the day of opening (Call0,
Put0) and on closing (CallM and PutM) of trades.
v)
Daily stock prices (the 32 prices given).
The 32nd stock
price is as of close prior to trading day and the 1 st stock
price is as of 32 days prior to trading day.
vi)
The stock goes ex-dividend every quarter starting at 0.25
years from trading date over the life of the option.
The
amount of quarterly dividend is 5% of the (32nd) stock price
just prior to the trading date.
vii)
An estimate of annual stock volatility (standard deviation
of stocks 31 daily continuously compounded rate of return)
based on 32 daily stock prices including and prior to trading
day, using the procedure discussed in class.
volatility is
The annual
252 times the estimated standard deviation
obtained from daily stock prices, because there are
approximately 252 trading days in a year.
price is ex-dividend price.
The 32nd day stock
3. Method of Calculating Fair Option Value:
Follow the step-by-step
procedure used in class to determine fair value of each option using a
5-step binomial tree.
4. Trading, holding, and closing options:
Compare the fair price of an
option (obtained by using all information as of trading day) with the
market price of the option on that day to determine the trade (buy or sell).
Note that the trade is actually for the open on the following day, based
on information as of close of the trading day.
Ideally, you should base
your trade on opening market price on the trading day.
for each of the chosen 30 options.
Decide a trade
Hold your trades over the holding
period and close the trades at the end of the holding period by selling
the options bought and by buying the options sold-short.
5. Profits:
Calculate profits from trading, equal to selling market
price of an option minus buying market price of the same option.
6. Project Report:
The project grade will be based on the accuracy of
the reported answers, required to be submitted in a spread sheet of two
columns with the question numbers in the first column and answers in the
second column attached to e-mail before the due date.
It is required that you submit all workings attached to your email
submission.
Answer the following questions for each option:
1 15: Annualized stock volatility (standard deviation of continuously
compounded rate of return) for the 15 stocks.
16 30 Fair values of 15 calls on 15 stocks.
31 45 Fair values of 15 puts on 15 stocks.
46 60 Trades for calls (write 1 for buy and 0 for short-sell).
61 75 Trades for puts (write 1 for buy and 0 for short-sell).
76 90 Profits from 15 call trades.
91 105 Profits from 15 put trades.
106 Total profit from all trades.
7. Individual Data
Stock
Strike
Mat
Rate
Call0
Put0
CallM
PutM
1
25.50
0.300
0.1070
9.11
29.47
3.25
10.52
2
26.50
0.350
0.1090
4.31
40.97
1.54
14.63
3
27.50
0.400
0.1110
35.13
22.04
12.54
7.87
4
28.50
0.450
0.1130
46.34
22.14
16.55
7.91
5
29.50
0.500
0.1150
63.00
21.57
22.50
7.70
6
30.50
0.550
0.1170
26.84
36.90
9.59
13.18
7
31.50
0.600
0.1190
25.81
41.18
9.22
14.71
8
32.50
0.650
0.1210
24.30
45.68
8.68
16.31
9
33.50
0.700
0.1230
5.77
64.61
2.06
23.07
10
34.50
0.750
0.1250
5.02
68.90
1.79
24.61
11
35.50
0.800
0.1270
65.53
42.27
23.40
15.10
12
36.50
0.850
0.1290
4.63
75.41
1.65
26.93
13
37.50
0.900
0.1310
25.89
62.17
9.25
22.20
14
38.50
0.950
0.1330
79.94
49.65
28.55
17.73
15
39.50
1.000
0.1350
244.02
34.81
87.15
12.43
32 Prices of 15 stocks in 15 columns
27.65
23.26
26.63
26.16
30.72
27.53
30.18
28.72
39.35
35.76
35.68
34.36
35.87
44.59
46.45
31.77
27.14
25.04
30.48
28.31
32.42
35.58
36.27
31.79
38.62
34.99
32.42
28.83
33.03
45.46
23.14
27.93
24.52
25.97
34.32
28.38
34.66
39.04
24.98
50.40
40.27
40.50
32.66
44.18
32.97
25.25
25.90
23.37
33.71
33.76
49.40
26.61
29.18
34.54
36.63
46.21
39.77
34.64
37.14
44.13
30.64
38.60
22.06
35.32
23.42
28.21
34.88
34.13
36.69
33.99
28.87
26.87
38.48
38.47
36.93
20.31
28.05
20.69
27.75
24.71
41.81
21.73
48.28
44.52
36.42
41.14
35.79
29.34
36.29
59.91
20.49
24.99
24.13
33.97
49.31
26.23
42.47
31.18
31.18
39.06
30.63
27.29
36.53
34.15
36.52
31.35
23.54
29.17
32.53
31.24
20.38
37.72
43.64
27.98
43.73
32.53
28.93
23.80
43.33
19.68
28.23
34.67
19.41
27.94
27.18
20.53
17.14
23.57
27.82
36.34
20.50
36.24
55.29
38.28
24.22
22.47
31.14
28.32
19.95
19.85
25.54
21.68
29.96
27.55
22.33
40.49
41.03
17.48
53.80
37.71
28.38
17.23
35.24
19.11
27.15
31.90
41.46
12.10
33.52
55.42
22.61
13.85
30.55
28.89
27.88
18.59
19.61
26.72
23.57
22.85
28.12
44.56
35.53
26.84
37.80
59.08
29.48
53.20
27.60
12.59
18.21
35.75
22.30
23.25
45.95
27.39
35.38
13.90
26.51
34.17
32.95
29.24
55.97
62.90
38.45
22.81
17.51
40.68
26.86
18.92
30.97
14.14
43.39
29.36
21.55
49.45
63.08
16.69
51.36
15.50
25.47
16.33
27.63
41.16
27.21
27.21
18.81
27.37
38.11
25.20
26.77
23.19
14.31
40.44
64.87
46.89
23.57
24.17
30.92
30.34
14.95
23.83
59.97
46.00
57.20
50.65
23.25
18.90
30.50
36.23
21.59
26.80
35.73
24.49
72.97
29.39
36.20
20.66
29.54
17.23
30.16
21.07
33.58
41.36
42.90
15.31
28.60
35.07
17.44
19.58
30.72
35.18
19.65
35.63
19.56
35.50
26.61
38.85
57.24
18.34
33.14
30.88
43.54
20.73
34.39
16.99
27.84
32.96
29.80
27.14
20.50
20.71
24.73
37.60
22.99
22.25
24.26
25.12
40.56
28.53
55.50
19.03
14.24
33.07
26.42
21.28
28.01
23.91
29.75
17.48
16.52
17.57
15.35
46.55
41.69
21.30
63.99
13.33
48.19
57.31
22.91
31.75
30.33
44.64 110.58
18.10
51.63
16.55
46.28
34.36
32.58
9.10
36.32
23.54
38.43
21.60
27.73
16.71
73.91
39.81
17.78
27.46
30.16
13.02
45.17
48.37
52.61
18.80
59.34
25.69
50.16
48.35
19.73
33.34
45.14
52.72
14.67
26.71
21.33
35.61
12.97
25.08
25.93
20.00
13.90
19.71
11.92
64.55
34.50
58.15
20.69
16.95
51.92
14.79
23.14
40.11
45.62
31.25
23.97
12.87
35.32
19.66
28.51
46.45
18.84
38.04
23.89
29.73
18.78
25.20
33.77
22.94
49.36
47.21
57.03
39.50
34.16
22.33
43.30
33.98
22.82
5.42
43.18
24.31
34.30
9.19
49.20
18.80
22.11
26.49
61.42
31.39
38.60
17.83
34.42
38.46
33.75
26.97
16.94
46.39
39.42
8.80
50.16
35.59
31.51
35.47
32.45
26.90
9.21
32.29
12.27
22.13
34.62
9.50
28.66
7.72
33.46
11.66
15.74
88.24
60.98
12.98
32.20
17.84
23.57
15.64
33.76
51.35
59.75
32.37
20.91
19.55
31.97
46.32
18.77
12.89
75.00
55.51
19.08
40.05
24.23
18.68
35.47
16.26
17.80
22.50
26.89
28.16
30.95
25.83
40.67
32.77
23.21
83.20
41.57
17.42
12.41
30.98
35.73
42.65
25.00
23.84
22.41
9.72
8.60
40.38
7.43
20.37
44.75 109.23
Stock
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
Strike
Mat
Rate
Call0
Put0
CallM
PutM
28.5
0.3
0.137 164.92
9.94
41.23
2.49
29.5
0.35
0.139
45.9
36.62
11.47
9.15
30.5
0.4
0.141
63.24
36.23
15.81
9.06
31.5
0.45
0.143
84.51
35.94
21.13
8.99
32.5
0.5
0.145 133.28
31.8
33.32
7.95
33.5
0.55
0.147
52.58
57.13
13.15
14.28
34.5
0.6
0.149
187.4
34.66
46.85
8.66
35.5
0.65
0.151
67.47
62.76
16.87
15.69
36.5
0.7
0.153
26.56
86.23
6.64
21.56
37.5
0.75
0.155
250.4
43.12
62.6
10.78
38.5
0.8
0.157
20.88
99.46
5.22
24.87
39.5
0.85
0.159
29.3
98.59
7.33
24.65
40.5
0.9
0.161 148.34
70.74
37.09
17.69
41.5
0.95
0.163
64.72
93.38
16.18
23.35
42.5
1
0.165
62.69
98.4
15.67
24.6
SD
Dividend
SD
8.63637259
8.117049701
10.40830206
7.950220918
7.60838838
8.139690028
8.148662493
8.303123386
11.01530502
9.355032026
14.12654897
10.71598725
12.14471165
12.25405467
7.118263902
Dividend Dividend rate dt
3.305
0.25
1.521
0.25
1.779
0.25
2.084
0.25
2.78
0.25
1.488
0.25
3.487
0.25
1.668
0.25
0.894
0.25
4.26
0.25
0.7155
0.25
0.859
0.25
2.722
0.25
1.419
0.25
1.3555
0.25
St
27.16
26.41
25.17
32.55
22.34
20.5
27.31
40.79
24.92
26.93
37.84
22.53
14.64
38.3
28.41
Ut
-0.028002576
-0.048089917
0.25712456
-0.376398575
-0.085953907
0.286828049
0.401184018
-0.492766259
0.077570213
0.340125837
-0.51851899
-0.431090246
0.961692388
-0.2987087
0.06
0.07
0.08
0.09
0.1
0.11
0.12
0.13
0.14
0.15
0.16
0.17
0.18
0.19
0.2
St
30.68
27.85
31.55
34.22
26.41
26.6
51.16
32.34
34.47
27.87
21.33
36.52
13.31
28.51
29.62
Ut
-0.09677801
0.124740623
0.081236679
-0.25906754
0.007168489
0.654046761
-0.45865312
0.063784526
-0.21253854
-0.26743631
0.537745523
-1.00934442
0.761739271
0.038194906
St
33.92
28.49
33.9
31.04
26.8
40.56
27.55
19.57
28.47
31.1
30.66
25.75
24.46
32.51
29.69
Ut
-0.174451662
0.173861866
-0.088138319
-0.146874808
0.414380472
-0.386779824
-0.342004754
0.37485312
0.088356918
-0.014248946
-0.174524246
-0.051395497
0.284508604
-0.090737446
St
30.37
39.34
34.91
34.68
23.38
39.05
37.74
59.43
29.66
38.46
23.88
23.02
31.5
23.63
35.92
24.16
13.89
22.27
20.39
21.64
12.89
18.19
16.4
25.15
60.06
30.1
79.44
31.88
15.32
41.98
28.03
66.1
SD
Dividend
3.305
-0.162042823
-0.553529216
0.472071325
-0.088195897
0.059498869
-0.518091637
0.344420176
-0.103590658
0.427576562
0.870486166
-0.690818891
0.970476848
-0.913023166
-0.73281969
1.00803415
-0.403917949
0.857893382
0.544040336
8.63637259
15.4
51.6
20.62
16.47
15.81
26.7
25.2
20.42
17.95
27.11
14.77
37.59
36.32
45.55
27.16
20.38
30.42
1.521
-0.6540823
1.209154163
-0.91726019
-0.22472093
-0.04089789
0.524020914
-0.05781957
-0.21032918
-0.1289247
0.412312549
-0.60730457
0.934139961
-0.0343695
0.22644207
-0.51706532
-0.28719127
0.400546259
0.511326069
8.117049701
27.04
19.9
24.14
38.52
40.83
14.49
44.04
22.35
70.59
63.97
10.06
43.97
51.49
50.15
43.2
14.53
35.58
1.779
-0.093493038
-0.306597519
0.193150484
0.467307371
0.058239518
-1.035958349
1.111639556
-0.678271991
1.15006217
-0.098474268
-1.849847059
1.474940419
0.157880031
-0.0263691
-0.149178019
-1.089625018
0.895568205
0.655661401
10.40830206
19.95
27.83
41.86
47.04
47.33
49.74
20.05
53.03
25.46
9.34
13.05
27.13
20.84
37.43
44.15
24.35
41.68
2.084
Ut
0.258786534
-0.119468492
-0.006610169
-0.394282196
0.51296192
-0.034122336
0.454078609
-0.694999813
0.259819403
-0.476577452
-0.036677885
0.313624143
-0.287470455
0.418777152
St
23.92
34.07
39.27
23.47
23.09
35.14
37.68
38.03
34.6
33.39
25.06
27.94
22.51
18.9
46.11
Ut
0.353702303
0.142043637
-0.514737859
-0.016323386
0.419940459
0.069789367
0.009245872
-0.09452164
-0.035597228
-0.286983504
0.108786404
-0.216099699
-0.174797733
0.891867924
St
36.86
36.67
48.43
42.33
36.93
29.49
35.09
26.33
51.02
35.31
27.38
24.99
35.49
25.56
23.32
Ut
-0.00516797
0.278160474
-0.1346234
-0.13647183
-0.22497301
0.173864967
-0.28720722
0.661508739
-0.3680515
-0.25435339
-0.09133708
0.350775222
-0.32822234
-0.09171727
St
29.72
40.15
39.57
24.05
24.24
26.74
38.68
30.74
28.54
22.94
37.35
52.77
28.7
28.11
29.3
Ut
0.300802221
-0.014551185
-0.497936259
0.007869165
0.09815641
0.369162099
-0.229757932
-0.074258126
-0.2184245
0.4874508
0.345609936
-0.609045725
-0.020771738
0.041462131
St
32.65
30.25
32.39
43.21
32.8
31.51
27.14
23.07
23.27
23.28
26.89
40.78
32.49
40.49
29.6
-0.5880651
0.332885432
0.408216141
0.116667587
0.00614604
0.049665094
-0.908580285
0.972628637
-0.733749198
-1.002802341
0.334481882
0.731851993
-0.26376591
0.585598305
0.165120405
-0.595061078
0.537489548
0.500816843
7.950220918
27.53
19.11
30.69
29.16
36.3
43.75
34.33
13.14
26.67
56.66
42.22
28.01
53.31
39.04
14.95
25.2
55.6
2.78
-0.515753527
-0.365064561
0.47372511
-0.051138961
0.219019834
0.186673872
-0.242472005
-0.960358594
0.707878325
0.753529156
-0.294174452
-0.410332453
0.643562342
-0.311537169
-0.959875462
0.522132695
0.791339207
0.479283417
7.60838838
31.06
36.44
15.75
25.95
21.98
61.19
18.43
19.75
28.6
13.64
24.72
41.68
30.16
49.1
18.22
36.17
29.76
1.488
0.286609456
0.159746255
-0.83882671
0.499331244
-0.16603866
1.023850828
-1.20000401
0.06917372
0.370253226
-0.74040007
0.59460598
0.522408765
-0.32350485
0.487342492
-0.99133914
0.685710154
-0.19506484
0.512752275
8.139690028
16.6
35.01
24
33.75
18.73
24.99
10.3
35.28
20.84
25.11
10.25
21.12
19.58
46.78
51.51
41.2
69.74
3.487
-0.568184821
0.74623104
-0.377579905
0.340926587
-0.588853901
0.288349228
-0.88633185
1.231172336
-0.526442014
0.186391956
-0.895988468
0.722942753
-0.075711822
0.870947124
0.096320202
-0.223337707
0.526335785
0.513317487
8.148662493
79.12
28.17
82.96
48.34
40.1
30.36
32.82
17.52
13.06
23.85
11.91
31.04
14.27
34.42
21.14
23.94
33.36
1.668
Ut
-0.076348671
0.068353549
0.288222217
-0.275643435
-0.04012356
-0.149296301
-0.162475582
0.008631905
0.000429646
0.144159847
0.416437295
-0.227259415
0.22012268
-0.313280669
St
32.55
33.48
38.66
42.69
47.36
34.75
30.68
33.96
63.54
27.11
28.14
68.85
24.46
32.84
56.02
Ut
0.028170877
0.143857228
0.099159227
0.10381329
-0.309598419
-0.124568596
0.101572385
0.626486267
-0.851766965
0.037289388
0.894738173
-1.034891095
0.294608154
0.534061485
St
36.51
35.12
32.19
34.72
35.68
30.51
35.77
29.27
33.98
38.1
15.91
45.18
56.67
36.54
38.13
Ut
-0.038815427
-0.087114923
0.075660044
0.027274418
-0.156535809
0.159055055
-0.200546453
0.149209016
0.114442166
-0.87326644
1.043706669
0.226590459
-0.438837419
0.042593823
St
34.87
38.07
32.44
38.77
31.66
38.76
44.82
45.61
30.91
31.75
38.84
35.73
59.17
47.14
34.77
Ut
0.08779971
-0.1600343
0.17825452
-0.2025927
0.20233473
0.14526568
0.01747252
-0.3890472
0.02681297
0.20155792
-0.08346
0.50442398
-0.2272928
-0.304367
St
38.41
41.36
37.59
32.66
33.47
37.07
39.91
23.6
45.75
35.48
41.49
24.97
34.17
74.22
19.62
0.983191326
-1.032708105
1.080100982
-0.540099189
-0.186883041
-0.278250382
0.077912133
-0.627695
-0.293788962
0.602230093
-0.694405834
0.957898312
-0.777117264
0.880478359
-0.48747081
0.12438372
0.331806877
0.523047609
8.303123386
45.78
30.76
31.42
16.83
22.42
8.1
34.79
17
79.84
90.8
26.9
70.55
40.96
60.43
19.24
19.65
17.88
0.894
-0.201861455
-0.39763217
0.021229488
-0.624281625
0.286790409
-1.018089356
1.457465927
-0.716116645
1.546811288
0.128634654
-1.216532999
0.964195392
-0.543725698
0.38888969
-1.144494225
0.021085893
-0.094394569
0.693898993
11.01530502
33.86
23.18
23.07
35.91
28.44
42.95
67.09
55.68
113.77
19.38
23.88
38.42
58.85
17.52
14.2
25.78
85.2
4.26
-0.118766997
-0.378944539
-0.004756766
0.442482736
-0.233219203
0.412240043
0.445998353
-0.186413986
0.714557851
-1.76993726
0.208799682
0.475536869
0.426413676
-1.211648748
-0.210101121
0.596357033
1.195402436
0.589311625
9.355032026
26.69
49.42
45.4
36.39
52.97
20.68
60.3
93.77
19.04
28.86
39.78
13.08
10.91
82
6.2
45.57
14.31
0.7155
-0.264466
0.61606624
-0.0848431
-0.2212181
0.3754317
-0.9405587
1.07016505
0.44151287
-1.5943029
0.41591452
0.32090772
-1.1122799
-0.1814045
2.01703945
-2.58217
1.99470031
-1.158291
0.88988894
14.126549
18.18
34.35
46.83
34.98
21.21
41.59
55.29
27.58
18.37
10.4
65.64
24.25
26
6.22
18.8
22.37
17.18
0.859
Ut
0.073996388
-0.095576173
-0.14058697
0.024498428
0.102158502
0.073818902
-0.525380207
0.66194508
-0.254222634
0.156483277
-0.50777733
0.313672962
0.77568559
-1.330484201
St
40.57
44.7
52.42
46.51
58.36
63.64
51.71
41.55
26.8
65.15
27.37
114.87
31.72
51.53
20.5
Ut
0.096944624
0.159314696
-0.119620855
0.22696338
0.08661148
-0.207591017
-0.218753665
-0.438495634
0.888290416
-0.867244781
1.434353531
-1.286853657
0.485216766
-0.921739276
St
35.9
36.39
38.03
46.98
34.73
54.87
44.58
67.22
41.95
28.79
56.98
20.32
59.77
42.91
30.45
Ut
0.013556716
0.04408131
0.211346657
-0.302118112
0.457362884
-0.207681423
0.410685494
-0.471492389
-0.376450328
0.682672224
-1.031094706
1.07889824
-0.331398964
-0.343018905
St
38.8
54.66
46.34
55.42
35.48
28.56
24.25
42.04
62.89
38.17
49.58
25.51
36.19
21.57
50.99
Ut
0.3427119
-0.165127
0.178935
-0.445971
-0.216962
-0.163591
0.5502049
0.4027656
-0.499337
0.2615377
-0.664517
0.3497123
-0.517479
0.8603261
-0.076227365
0.63627993
0.309922005
-0.291747554
-0.500303701
0.673386985
0.284732307
-0.695501188
-0.406371973
-0.568913093
1.84237946
-0.995768649
0.069679921
-1.430326631
1.106086963
0.173863906
-0.263974859
0.675043746
10.71598725
43.97
31.81
10.89
29.61
16.08
36.56
19.65
56.06
21.27
74.02
23.91
28.1
10.58
13.53
21.76
35.96
54.44
2.722
0.763082697
-0.323726877
-1.071935769
1.000267205
-0.610535878
0.821378483
-0.620877408
1.048345207
-0.969124917
1.247037698
-1.130038545
0.161472795
-0.97680415
0.245944016
0.47516398
0.502333788
0.414691968
0.765044923
12.14471165
69.95
38.51
53.44
32.97
20.07
18.23
25.95
34.68
57.62
14.97
28.96
51.66
137.92
82.18
7.71
36.74
28.38
1.419
0.831694707
-0.596862753
0.327641581
-0.482961472
-0.496371894
-0.096157574
0.353103021
0.289991542
0.507706578
-1.347821531
0.659867369
0.57876822
0.981990019
-0.517761843
-2.366393776
1.561347892
-0.258181408
0.771932886
12.25405467
68.47
72.22
44.39
51.91
68.58
38.81
23.3
57.04
58.74
39.89
28.93
44.99
22.49
41.66
42.46
31.98
27.11
1.3555
0.2947662
0.0533213
-0.486703
0.1564972
0.2784895
-0.569323
-0.510225
0.8952994
0.0293681
-0.386995
-0.321247
0.4415611
-0.693369
0.6164707
0.019021
-0.283452
-0.165208
0.4484085
7.1182639
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
C0
Trade
Call0
156.8913
164.92
42.05254
45.9
59.82509
63.24
79.36741
84.51
127.3412
133.28
49.58652
52.58
181.8327
187.4
64.30859
67.47
25.23359
26.56
245.416
250.4
20.06221
20.88
28.09199
29.3
145.5192
148.34
63.17331
64.72
60.69893
62.69
1717.11
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Profit
CallM
123.69
41.23
34.43
11.47
47.43
15.81
63.38
21.13
99.96
33.32
39.43
13.15
140.55
46.85
50.6
16.87
19.92
6.64
187.8
62.6
15.66
5.22
21.97
7.33
111.25
37.09
48.54
16.18
47.02
15.67
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
P0
Short
Put0
26.98734
9.94
27.74549
36.62
29.07645
36.23
29.86757
35.94
29.93101
31.8
30.70418
57.13
31.44751
34.66
32.71802
62.76
34.06409
86.23
33.37227
43.12
35.82427
99.46
35.72762
98.59
35.03672
70.74
36.66437
93.38
37.15715
98.4
PutM
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2.49
9.15
9.06
8.99
7.95
14.28
8.66
15.69
21.56
10.78
24.87
24.65
17.69
23.35
24.6
Profit
-7.45
27.56
27.24
27.99
17.52
48.47
18.97
41.2
75.45
18.25
74.81
80.9
47.39
68.78
98.4
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
Sigma
Div
8.63637
3.305
8.11705
1.521
10.4083
1.779
7.95022
2.084
7.60839
2.78
8.13969
1.488
8.14866
3.487
8.30312
1.668
11.0153
0.894
9.35503
4.26
14.1265
0.7155
10.716
0.859
12.1447
2.722
12.2541
1.419
7.11826
1.3555
Stock
Strike
1
Call
Put
u
d
p
S0*
S0*
PV
Mat
28.5
Rate
0.3
8.293487824
0.120576532
0.108…
Purchase answer to see full
attachment
