S&P 500 Index is at 2780. A European June 21, 2019 SPX call option struck at...

S&P 500 Index is at 2780. A European June 21, 2019 SPX call option struck at 2500 is trading at $316.94. An identical put is trading at $55.15. A T-bill with 200 days to maturity is quoted at a yield of 2.46.

From the T-bill, calculate the discount factor

Use the discount factor from part a to check the lower-bound condition for the call and the put

Use the discount factor from part a to check put-call parity.

Design a zero-net-investment strategy exploiting the violation of the put-call parity assuming it is genuine.

Expert Solution

Already I have done answer to it … so given the same.

jeff jeffy answered 7 months ago

The S&P 500 index is currently at $2,000. The one-year $1,900-strike European call option on the...

The S&P 500 index is currently at $2,000. The one-year $1,900-strike European call option on the index is quoted at $191. The one-year $1,900-strike European put option on the index is quoted at $58. (a) If you are long a 1-year forward on the index with a delivery price of $1,900, what should be the current value of your forward position?

The S&P 500 index is currently at $2,000. The one-year $1,900-strike European call option on the...

The S&P 500 index is currently at $2,000. The one-year $1,900-strike European call option on the index is quoted at $191. The one-year $1,900-strike European put option on the index is quoted at $58 What is the current intrinsic value ( ) and time value ( ) for the call option? What is the current intrinsic value ( ) and time value ( ) for the put option?

A. A six-month S&P 500 index call option has an exercise price of 1,500. The holder...

A. A six-month S&P 500 index call option has an exercise price of 1,500. The holder of the option exercises the call when the index is at 1,520. The settlement procedure for the S&P 500 index option requires the writer of the option to ____________ to the holder of the option. a. deliver an S&P 500 index ETF b. make a payment of 20 times $100 c. make a payment of $1,520 d. make a payment of 1,520 times $10...

Depoul'' financial company purchased a call option on thr S&P 500 index expiring in one year...

Depoul'' financial company purchased a call option on thr S&P 500 index expiring in one year permuim is quoted at 20. the exercise price of the option is 1300 and the current price of the assume the index declines by 5% in the first quarter , then increase by 3 % in each of the follwing , what is the net gain or loss of this transaction ? hint: multiply index by 250$ to find the contract).