Prepare a computer graph of traced (1) daily 3-month T-bill rate,
(2) daily S&P 500 index (SPX), (3) daily index option (use call
option with exercise price at 2,960 and expire on June 12, get quote
from com/DelayedQuote/QuoteTable.aspx”>http://cboe.com/DelayedQuote/QuoteTable.aspx or
www.cme.com ) and at least one stock option during the period
(assume 2% dividend for S&P index (SPX) and then use B/S option
model to obtain the missing call premium (only if no trade data)
b. Table the traced daily implied volatility and the daily hedge ratio
(the delta) of the S&P 500 stock index and stock options [i.e., use
the same option on (3) in a] over the period.
c. Estimate the historical standard deviation of S&P 500 index and the
chosen stock in (3) in a.
d. Construct a bull money (two calls with two different exercise
prices), a butterfly (three calls with three difference exercise
prices), and a straddle (buy a call and buy a put w
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