Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

• ## Welcome Guests

Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

# Search the Community

Showing results for tags 'call put parity'.

• ### Search By Tags

Type tags separated by commas.

### Forums

• Beginners Forum
• General Discussion
• Announcements and Support
• The Markets
• Market News & Analysis
• E-mini Futures
• Forex
• Futures
• Stocks
• Options
• Technical Topics
• Technical Analysis
• Coding Forum
• Market Profile
• The Wyckoff Forum
• The Candlestick Corner
• Market Internals
• Risk & Money Management
• Brokers and Data Feeds
• The Marketplace
• Commercial Content
• Listings and Reviews

• Articles

• 0 Replies

• 0 Reviews

• 0 Views

Found 1 result

1. ## Put/call Option Relation Exercice

Hi all, I'm a total beginner and want to learn about trading. I've read some books and websites and found this one; the articles are really helpful! While studying options, I've come across the following question and I don't know how to solve it: Suppose you know the following:   - Future is at 66  - 70 strike straddle is trading at 27   - 50-60 put spread is at 2.5   - 50-60-70 put fly is at .2   - Assume volatility is constant across strikes   Using the prices given and relationships between options of various strikes, what are the fair values for the 80 Call, 60 Straddle, and 40 Put? Assume we had a volatility smile among the curve, how would this make your markets different? Here is what I think: let's denote by p(K) and c(K) the put and call with strike K (assume sigma, time to maturity T, risk free r are constant and the same for all options). We know that p(70)+c(70)=27 -p(50)+p(60)=2.5 p(50)-2*p(60)+p(70)=0.2 We also know that put-call party holds, i.e. c+K e^(-r*T)=p+S_0 and the price of the forward F=S_0*e^(r*T)=66. From this information how do I compute c(80), p(40) and p(60)+c(60)? What do they mean by "relationships between options of various strikes"? Thanks!
×
×
• Create New...