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Develop a delta neutral strategy for the period 10/03/2020 to 25/03/2020 to speculate/arbitrage on volatility....

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Accounting

Develop a delta neutral strategy for the period 10/03/2020 to 25/03/2020 to speculate/arbitrage on volatility. Explain how the strategy will work, and detail all transactions for undertaking the strategy. You can use as much capital as you like, but the cost of capital needs to be considered. Given that the strategy is theoretically risk free, you should not lose any money anyway! You are required to perform at least one re-balancing.

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H K L M IV 0.3572 0.3629 0.4855 DELTA 0.5362 0.5059 0.3508 0.5821 0.5244 0.6682 0.4158 DATE 10/3/20 11/3/20 12/3/20 13/3/20 16/3/20 17/3/20 18/3/20 19/3/20 20/3/20 23/3/20 24/3/20 25/3/20 HV 0.2249 0.2253 0.2396 0.2638 0.2859 0.2904 0.3043 0.3069 0.3104 0.3125 0.3126 0.3127 0.6266 STOCK PRICE 308.97 303.81 280.51 313.83 281.34 296.90 271.40 283.91 270.88 282.24 285.35 284.36 CALL PRICE 21.77 18.87 11.48 33.54 19.01 27.25 15.90 21.37 17.61 23.87 21.85 18.56 0.5020 0.3687 0.4368 0.3813 0.4459 0.4431 0.4209 EXERCISE PRICE 308.00 308.00 308.00 308.00 308.00 308.00 308.00 308.00 308.00 308.00 308.00 308.00 EXPIRATION 25/6/20 25/6/20 25/6/20 25/6/20 25/6/20 25/6/20 25/6/20 25/6/20 25/6/20 25/6/20 25/6/20 25/6/20 0.7033 0.6745 0.6882 0.7663 0.6568 0.6075

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