Below is some actual data for call options on Netflix (NFLX) from November 29,20

Question

Below is some actual data for call options on Netflix (NFLX) from November 29,2017. The options expire on January 19, 2018. NFLX's most recent closing price was $190.25, and the 1 month treasury rate (risk free rate) is 1.16% (annualized). There are 34 trading days between November 29 and expiration (assume 252 trading days in the year) Fill in the Implied Volatility column below (you can use the spreadsheet I posted on Blackboard, but I'd encourage you to build your own Black-Scholes-Merton spreadsheet and then use it, it's a good exercise!) Strike Price Implied Volatility $40.00 $60.00 $105.00 $150.00 $190.00 $230.00 $250.00 $275.00 $300.00 Option Price $156.60 $140.25 $90.29 $40.70 $10.43 $0.94 $0.25 $0.10 $0.07

Explanation / Answer

Though making a full excel model, will be too long

But I have calculated implied volatility for you , they will be in the order as above:

1) 444.47%

2) 388.63%

3) 175.18%

4) 42.67%

5) 44.12%

6) 43.17%

7) 44.53%

8) 50.47%

9) 58.14%

Related Questions

Navigate

• Browse (All)
• Browse B
• Subjects

---

---

Integrity-first tutoring: explanations and feedback only — we do not complete graded work. Learn more.