Estimate the price of a european put option

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Question - The ETF SPY closed on April 23, 2021 at 416.74 and the price of the May 416 European call option on SPY was $6.27 per underlying share. Assume that the risk-free rate was 0% and the dividend yield was 1.5%. Given that the option expires on May 19, 2021, compute the volatility implied by the price of the call option. Estimate the price of a European put option with the same strike and maturity. What SPY position should you hold to hedge a long position in this put option if written on 1000 shares of SPY (10 put option contracts each written on 100 shares of SPY)?

Reference no: EM132953363

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