Question

求经济学高手帮忙解答这个问题～！万分感谢～！

On 09/21/2012, Apple Inc. (AAPL) closed at 700.09.
Apple Inc. (AAPL) 700.09 1.39(0.20%) Sep 21, 4:00PM EDT
The October call option of AAPL with a strike price of $700 (expires on Oct 19, 4 weeks later) closed at 18.70 and put closed at 18.20.
AAPL Oct 2012 700.000 call (AAPL121020C00700000)
18.70 0.75 (4.18%) Sep 21
AAPL Oct 2012 700.000 put (AAPL121020P00700000)
18.20 0.60 (3.19%) Sep 21
Recall:
The call option will pay you the amount that the price of AAPL is above the strike price of $700. If the price on 10/19/2012 is below the strike price, the call option will pay you zero.
The put option will pay you the amount that the price of AAPL is below the strike price of $700. If the price on 10/19/2012 is above the strike price, the call option will pay you zero.
Q1a. Assuming stock price can take two values with equal probabilities:
Current price plus delta
Current price minus delta
What is the value of delta based on the closing price of
Call option
Put option
Q1b. If you buy both the call and the put, what is the minimum size of movement for AAPL for you to make a net profit?
Q1c. If you expect the actual size of price movement to be $50, but you are not sure about the direction of movement, what is your option strategy to take advantage of this opportunity? How much do you expect to make based on this strategy?
Q1d. If you expect the actual size of price movement to be $25, but you are not sure about the direction of movement, what is your option strategy to take advantage of this opportunity? How much do you expect to make based on this strategy?
Q2a. Average delta from call and put from Q1a and divide by the close price of AAPL to convert the size of movement into a percentage term. This is an approximation of standard deviation or volatility of price for the return of AAPL between 09/21 and 10/19 priced by the option price.
Q2b. Annualize Q2a (hint: there are 20 trading days or 4 weeks before the expiration of option. Use 252 trading days or 52 trading weeks to annualize volatility). This is option implied volatility on an annualized basis.
Q2c. What is the expected daily price movement in dollars?

Answer 1

考，考研题还没这么变态呢

Answer 2

呵呵 简单

Answer 3

now I am in the Nanjing and have not computer, but I am quite interesting in you problam.Might be three day ago I will wreach my school and think about your question...*-*...