You Find the Option Prices for Three June Call Options

question 79

Multiple Choice

You find the option prices for three June call options on the same stock.The 95 call has an implied volatility of 25%,the 100 call has an implied volatility of 25% and the 105 call has an implied volatility of 30%.If you believe this represents a mis-pricing situation you may wish to ____________________________.

• A) buy the 105 call and write the 100 call
• B) buy the 105 call and write the 95 call
• C) buy either the 95 or the 100 call write the 105 call
• D) write the 105 call and write either the 95 or the 100 call

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Definitions:

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An oral rinse product containing fluoride, intended to reduce dental cavities by strengthening tooth enamel.

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An experimental design where each subject is paired up with another subject with similar characteristics, and one subject from each pair is assigned to the treatment group and the other to the control group.

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