The Implied Volatilities for Strike Prices of 1

question 2

Multiple Choice

The implied volatilities for strike prices of 1.1 and 1.2 when the time to maturity is 6 months are 20% and 22%.The implied volatilities for strike prices of 1.1 and 1.2 when the time to maturity is 1 year are 18.8% and 20.2%.Using linear interpolation,what is the implied volatility for a strike price of 1.12 and a time to maturity of 10 months?

• A) 19.24%
• B) 19.52%
• C) 20.48%
• D) 19.96%

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Definitions:

Epiglottis

A leaf-shaped flap of cartilage located behind the tongue, at the top of the larynx, which prevents food and drink from entering the windpipe during swallowing.

Nasopharynx

The upper part of the throat located behind the nose, connecting the nasal cavity to the throat.

Trachea

The windpipe, a tube that connects the throat to the lungs, allowing for air passage.

Apical Bronchus

A branch of the upper lobe bronchus that directs air to the apex of the lung.