Question
In: Statistics and Probability
Q4. You observed a stock moves 2% stdev each day usually, except for days of earning...
Q4. You observed a stock moves 2% stdev each day usually, except for days of earning announcement. In the latter case, it has a stdev of 10%. Today is a Friday. You are interested in an option that expires in FOUR weeks. Earning announcement will be on the next Friday.
a. What should be annualized IV now?
b. On next Thurday at close, what should be IV?
c. On Friday at close, just after ER, what should be IV?
Solutions
orchestra answered 2 years agoRelated Solutions
Q4. You observed a stock moves 2% stdev each day usually, except for days of earning...
Q4. You observed a stock moves 2% stdev each day usually, except
for days of earning announcement. In the latter case, it has a
stdev of 10%. Today is a Friday. You are interested in an option
that expires in FOUR weeks. Earning announcement will be on the
next Friday.
Q4a. What should be annualized IV now? (4 points)
Q4b. On next Thurday at close, what should be IV? (3 points)
Q4c. On Friday at close, just after ER, what...
Q4. You observed a stock moves 2% stdev each day usually, except for days of earning...
Q4. You observed a stock moves 2% stdev each day usually, except
for days of earning announcement. In the latter case, it has a
stdev of 10%. Today is a Friday. You are interested in an option
that expires in FOUR weeks. Earning announcement will be on the
next Friday.
a. What should be annualized IV now? (4 points)
b. On next Thursday at close, what should be IV? (3 points)
c. On Friday at close, just after ER, what...
Q4. You observed a stock moves 2% stdev each day usually, except for days of earning...
Q4. You observed a stock moves 2% stdev each day usually, except
for days of earning announcement. In the latter case, it has a
stdev of 10%. Today is a Friday. You are interested in an option
that expires in FOUR weeks. Earning announcement will be on the
next Friday.
Q4a. What should be annualized IV now? (4 points)
Q4b. On next Thurday at close, what should be IV? (3 points)
Q4c. On Friday at close, just after ER, what...
Q4. You observed a stock moves 2% stdev each day usually, except for days of earning...
Q4. You observed a stock moves 2% stdev each day usually, except
for days of earning announcement. In the latter case, it has a
stdev of 10%. Today is a Friday. You are interested in an option
that expires in FOUR weeks. Earning announcement will be on the
next Friday.
Q4a. What should be annualized IV now? (4 points)
Q4b. On next Thurday at close, what should be IV? (3 points)
Q4c. On Friday at close, just after ER, what...
2. (a) Joe tries to study at a study cafe each day of the week, except...
2. (a)
Joe tries to study at a study cafe each day of the week, except
on the weekends (Saturdays & Sundays). Joe is able to study, on
average, on 75% of the weekdays (Monday-Friday).
i. Find the expected value and the standard deviation of the
number of days he studies in a given week.
ii. Given that Joe studies on Monday, find the probability that
he will study at least 3 days in the rest of the week.
iii....
Suppose you observed that stock markets usually earn significantly positive returns during January in past years,...
Suppose you observed that stock markets usually earn
significantly positive returns during January in past years, and
you prepare to follow this strategy in next years. Does it imply
that you believe efficient market hypothesis (EMH) or not ? Why
?
Suppose you are a portfolio manager and do active management
strategy (e.g. seek alpha). Does it imply you believe
efficient market efficiency or not? Why?
Each of the following moves represent a permanent change of station EXCEPT: A. A move from...
Each of the following moves represent a permanent change of
station EXCEPT:
A. A move from oe permanent post of duty to another
B. A move from last post of duty to the taxpayer's
home within one year of the end of the taxpayer's active duty
C. A move from the taxpayer's home to the first post of active
duty.
D. A move from the last post of duty to the taxpayer's home 18
months after the end of the taxpayer's...
2. The following data represent samples that were taken on 10 separate days. Each day has...
2. The following data represent samples that were taken on 10
separate days. Each day has a varying sample size and the number of
defects for the items sampled is listed. We want to see if this
process is consistent and in control.
Day
Sample Size
Defects
1
100
6
2
110
4
3
190
10
4
190
7
5
240
15
6
255
8
7
105
3
8
175
6
9
245
22
10
265
27
a. Find...
(a) Susan tries to exercise at ”Pure Fit” Gym each day of the week, except on...
(a) Susan tries to exercise at ”Pure Fit” Gym each day
of the week, except on the weekends
(Saturdays and Sundays). Susan is able to exercise, on average, on
75% of the weekdays
(Monday to Friday).
i. Find the expected value and the standard deviation of the number
of days she
exercises in a given week. [2 marks]
ii. Given that Susan exercises on Monday, find the probability that
she will exercise at
least 3 days in the rest of...
. (a) Susan tries to exercise at ”Pure Fit” Gym each day of the week, except...
. (a) Susan tries to exercise at ”Pure Fit” Gym each day of the
week, except on the weekends (Saturdays and Sundays). Susan is able
to exercise, on average, on 75% of the weekdays (Monday to Friday).
i. Find the expected value and the standard deviation of the number
of days she exercises in a given week. [2 marks] ii. Given that
Susan exercises on Monday, find the probability that she will
exercise at least 3 days in the rest...
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