This assignment allows you to get familiar with the
behaviors of option prices, and the computation of the stock volatilities.
- Choose
a stock with actively traded options, and identify two call options
– one that is in-the-money, and a second that is out-of-the-money at the
beginning of your sample period. Both should mature on the same date.
- Record
the daily closing prices for the options and the stock over the period from
10/12/2015 to 11/12/2015 on a spreadsheet.
ALSO, Record daily closing
yields for the 3-month Treasury bills over the SAME time period on the same
spreadsheet.
- Use
historical stock prices to estimate the volatility of the stock.
- Discuss
the option prices and stock prices movement in a maximum of 2
double-spaced pages.
