Increasing market volatility

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Identify two option strategies that take advantage of high or increasing market volatility. Examine each strategy for both SewP 500 index (SPX) and SP 100 index (OEX) options. Use data provided in Table 1 of SecondCityOptionsCase_Datal Oe.xlex.? At this stage consider only strategies in which all options are held to expiration. If more than one expiration date is possible, use only options with the nearest expiration date, which is August 18, 2007. Also, use options that are at-the-money or closest to at-the- money. Discuss the advantages and disadvantages of each strategy.

Reference no: EM133066267

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