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Calculate daily returns-volatility and annualized volatility

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Reference no: EM133109942

Download daily adjusted close prices for TESLA between 12/10/2020 and 12/09/2021. (TICKER:TSLA). 

  1. Calculate daily returns, volatility and annualized volatility.
  2. Calculate the prices of Call options on TSLA that expires on 02/18/2022 with strike prices of $1000, 1100$ and $1200. Assume you're calculating price on 12/09/2021 and TSLA trades at $1004 on that date.
  3. Calculate prices of Put options for the same strike prices and maturity using Put-Call Parity equation. 
  4. After you calculated the price based on your assumptions, you realized that the Call options trade at $123, 82$ and $53, respectively. Calculate the implied volatilities for each strike price using goal seek. 
  5. You decided to build a reverse butterfly option strategy with writing a call at $1000, buying two calls at $1100 and writing one call at $1200. Using your calculated option prices, calculate total profits for stock prices between $500 and $1500 and draw a total payout chart.

Risk Free Rate is 0.85%

Reference no: EM133109942

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