NOTE: This is the 4th time I\'m posting this quesiton; if you are not sure about
ID: 2642761 • Letter: N
Question
NOTE: This is the 4th time I'm posting this quesiton; if you are not sure about the answer, KINDLY please do not post the answer and leave it to someone more experienced. thank you very much!!!
Some of the quotes below are clearly mispriced. In fact, there are at least 6 quotes that violate various price behaviors of options. Identify the mispriced options by their nature (call or put), their strike price, and the expiration month and then state which relationship/pricing rule is being violated.
Calls
Puts
Option and NY Close
Exercise/
Strike
Expiration
Vol.
Last
Vol.
Last
Price
GM
5
Nov
89
1.12
41
0.15
6.8
5
Dec
85
1.15
22
0.1
6.8
8
Nov
5
1.15
41
1.1
6.8
8
Feb
60
0.45
55
1.2
Calls
Puts
Option and NY Close
Exercise/
Strike
Expiration
Vol.
Last
Vol.
Last
Price
GM
5
Nov
89
1.12
41
0.15
6.8
5
Dec
85
1.15
22
0.1
6.8
8
Nov
5
1.15
41
1.1
6.8
8
Feb
60
0.45
55
1.2
Explanation / Answer
A correctly priced option should follow put-Call parity
P+S0=C+Kexp(-rt)
As we don
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