Question
In: Finance
The volatility of a share price affects the options price, the higher the volatility, the higher...
The volatility of a share price affects the options price, the higher the volatility, the higher is the options price. There are many ways of computing volatility, but a popular method is to find the coefficient of variation of daily closing stock prices for a year. Calculate the volatility of the following share prices using daily closing price data from 1 Jan 2019 to 31 Dec 2019 in ASX from Yahoo Finance.
BHP (BHP Group Limited)
CSL (CSL Limited)
CBA (Commonwealth Bank Limited)
MYR (Myer Holdings Limited)
(Please do not write equations in the solution. Embed Excel screenshots in your answers so that the marker can identify the procedures you have adopted to find volatility. Express volatility as %).
Solutions
Expert Solution
B H Deviation of Square of deviations of the stock 0.41 -2.38% -3.66% 0.00% 0.395 0.00% B -0.09% 1.18% -2.59% -1.25% -1.34% 0 1 2 3 4 5 L6 7 2.51% -1.35% -1.27% -1.34% 0 1 2 2-Jan-191 3-Jan-19 4-Jan-19 7-Jan-19 8-Jan-191 9-Jan-19 10-Jan-19 11-Jan-191 14-Jan-191 15-Jan-191 16-Jan-191 17-Jan-19 18-Jan-19 21-Jan-191 22-Jan-191 23-Jan-191 24-Jan-191 25-Jan-191 29-Jan-19 30-Jan-19 31-Jan-191 1-Feb-191 4-Feb-19 5-Feb-19 6-Feb-191 7-Feb-19 8-Feb-19 11-Feb-19 12-Feb-191 13-Feb-19 14-Feb-19 15-Feb-19 18-Feb-191 19-Feb-19 20-Feb-19 21-Feb-191 22-Feb-19 25-Feb-19 26-Feb-19 27-Feb-191 28-Feb-19 -1.40% -1.42% -1.33% -4 -5 1.35% -2.75% -1.46% 0.37 0.00% -0.09% -0.09% 28 9 0 1 2 13 34 35 36 $7 18 19 10 11 12 0.375 2.65% 0.00% -0.09% 1.28% -0.09% 0.00% 2.70% -2.72% 3.97% 0.37 0.385 0.385 0.395 14 2.60% 3.80% 3.71% 2.11% 2.20% 2.15% 1.05% -0.09% 8.33% 0.56 7.61% -9.01% 17 18 19 50 51 52 53 54 55 56 57 58 59 50 51 52 53 4-Mar-191 5-Mar-19 6-Mar-19 7-Mar-191 8-Mar-19 11-Mar-191 12-Mar-19 13-Mar-191 14-Mar-19 15-Mar-19 18-Mar-19 19-Mar-19 20-Mar-19 21-Mar-19 22-Mar-19 25-Mar-19 26-Mar-19 27-Mar-19 28-Mar-19 29-Mar-19 1.75% 2.70% -0.09% 4.30% 5.80% -8.82% -8.73% 0.61 0.62 0.595 5.17% 1.64% 2-Apr-19 4.12% 0.64 3.23% 3.14% 4.62% 4.53% 0.7 2.17% -0.71% -1.43% -0.80% 2.90% 2.11% 0.705 0.715 -2.84% 1.33% -2.88% -2.80% 2.07% 0.69 -2.82% -0.09% 4-Apr-191 5-Apr-19 8-Apr-19 9-Apr-19 21 10-Apr-19 2 11-Apr-19 73 12-Apr-19 74 15-Apr-19 25 16-Apr-19 26 17-Apr-19 27 18-Apr-191 78 23-Apr-19 79 24-Apr-19 B0 26-Apr-19 31 29-Apr-191 32 30-Apr-19 1-May-19 34 2-May-19 35 3-May-19 36 6-May-19 37 7-May-19 38 8-May-19 39 9-May-19 20 10-May-19 21 13-May-19 22 14-May-19 23 15-May-19 34 16-May-19 25 17-May-19 26 20-May-19 27 21-May-19 28 22-May-19 29 23-May-19 00 24-May-19 01 27-May-19 02 28-May-19 03 29-May-19 04 30-May-19 31-May-19
jeff jeffy answered 1 year agoRelated Solutions
The volatility of a share price affects the options price, the higher the volatility, the higher...
The volatility of a share price affects the options price, the
higher the volatility, the higher is the options price. There are
many ways of computing volatility, but a popular method is to find
the coefficient of variation of daily closing stock prices for a
year. Calculate the volatility of the following share prices using
daily closing price data from 1 Jan 2019 to 31 Dec 2019 in ASX from
Yahoo Finance. BHP (BHP Group Limited) CSL (CSL Limited) CBA...
It is important that we mention that the higher the share price, naturally the better for...
It is important that we mention that the higher the share price,
naturally the better for management. Investors will see their net
worth rise as their investment gains in value, while management
will be happy in that the high share price will reflect positively
on their incentives and the company, plus the fact that a higher
share price can be used as cheap currency if management wishes to
say buy out another company. With this said, what type of equity...
Consider two put options differing only by exercise price. The one with the higher exercise price...
Consider two put options differing only by exercise price. The
one with the higher exercise price has
Answers:
A.
the higher breakeven and greater profit potential
B.
the lower breakeven and greater profit potential
C.
the higher breakeven and lower profit potential
D.
the lower breakeven and lower profit potential
Calculate the Implied Volatility of the following options on Stock XYX. Stock Price=$50; Risk Free Rate...
Calculate the Implied Volatility of the following options on
Stock XYX.
Stock Price=$50; Risk Free Rate =10%; Dividends =$0;
Expiration Date=1 Year; Strike Price =$50; Option Price= $7
1-month European call options for Apple (AAPL) with a strike price of $235/share sell for $1.50/share...
1-month European call options for Apple (AAPL) with a strike
price of $235/share sell for $1.50/share when Apple stock trades at
$225/share. Each call contract is for 100 shares of Apple
stock.
a. If Apple share price at maturity ends up being $230/share
what is the payoff and profit for the long call buyer?
b. If Apple share price at maturity ends up being $230/share
what is the payoff and profit for the short call seller?
c. What is the...
Misuraca Enterprise's current stock price is $45 per share. Call options for this stock exist that...
Misuraca Enterprise's current stock price is $45 per share. Call
options for this stock exist that permit the holder to purchase one
share at an exercise price of $50. These options will expire at the
end of 1 year, at which time Misuraca's stock will be selling at
one of two prices, $35 or $55. The risk-free rate is 5.5%. As an
assistant to the firm’s treasurer, you have been asked to perform
the following tasks to arrive at the...
RTF Inc. has options traded on the CBOE. As a measure of its volatility, assume the...
RTF Inc. has options traded on the CBOE. As a measure of its
volatility, assume the stock price can either go up at $40 or down
to $15. Interest rates that apply are 1%. Consider a strike 25 call
option. Using this strike price and the two possible binomial
prices for the stock, the dollar cash flow that a risk-free hedge
will generate under each possible strike price will be?
A share of stock is currently worth $90 and has a volatility of 20%. The domestic...
A share of stock is currently worth $90 and has a volatility of
20%. The domestic risk-free interest rate is 5% and the stock does
not pay any dividend. Use a two-step binomial tree to derive a) the
value of a European four-month call option written on a 100 shares
of stock with a strike price of $91 per share, and b) the position
in shares of stock (long or short) which will hedge a short
position in the European...
The type of risk associated with the price volatility of a security is known as a....
The type of risk associated with the price volatility of a
security is known as
a. liquidity risk.
b. financial risk.
c. market risk.
d. business risk.
Explain the relationship between the volatility of a stock and the price of the call and...
Explain the relationship between the volatility of a stock and
the price of the call and put options on that stock (in qualitative
terms). Why is this so?
ADVERTISEMENT
ADVERTISEMENT
Latest Questions
- Case Study 2: The Turn Around at Ford Ford has been going through difficult times and...
- At a certain temperature T1, a (1.2324x10^2) mm rod of a copper alloy containing (3.04x10^1) at%...
- choose one of the developmental theories (phychosexual-freud, psychosocial-eirkson, cognitive-piaget, or moral development-kohlberg) and exlain when and...
- 1. Why do some people resist the goal of becoming world class? How can this resistance...
- ATestforPrimalityisthefollowing: Given an integer n > 1, to test whether n is prime check to see...
- I have extra columns with data showing up in my pivot table. How can I get...
- In your own words, discuss The Fourth Amendment. How are new areas of technology impacted by...
ADVERTISEMENT