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Hereafter you will find information from the Derivatives market on the CAC 40: PRICES - 1 DEC 2020 DEUVERY RID ASK LAST TIME DAT VOL OPEN HIGH LOR SETTE 01 Dec 20 5.570,50 5.571.00 5.562.50 15:28 03.60 36.436 5,553.00 5.580.00 5.520.50 5,509.00 267,738 81 Jan 21 5,559.00 5,561.50 5,550.50 15.21 52.00 25 5,544.50 5,563,50 5,516,00 5,498.50 Feb 21 0.00 5,495 50 Har 21 0.00 5.550.50 5,445,50 5,559.00 5,476,50 22 11 - 0.00 5,492 50 5,403.50 5,380.50 Jun 21 Sep 21 Dec 21 - 0.00 0.00 5,360.00 5,003 Jun 22 0.00 5,300.50 Dec 22 0.00 5.281.50 9,501 Jun 23 9.00 Dec 23 3,00 5,191.50 5.159.50 5.081.50 1 Jun 24 3.00 0.00 5,061.50 1 DECEMBER 2020 PRICES - 01/12/20 SETTL LAST ASK STHIKE ASK LAST SETTL 142.97 174.60 177.70 5450.00 P 52.70 55.40 58.20 83,96 126.55 159.00 C 5475.00 P 59,10 61.90 92.54 155.90 138.10 111.05 135.00 141.10 C 5500.00 P 66.30 69.20 72.50 102.05 96.61 121.20 124.20 C $525.00 P 74.30 77.30 14.00 112.62 83.19 99.80 105.40 C $550.00 P 83.30 36,50 108.30 93.40 124.20 136.94 90.50 C 5575.00 P 93.40 96.80 101.00 70.92 59.81 76,20 76.90 79.60 C 5600.00 P 104.60 108.20 150.86 49.91 69.00 64.50 67.10 C P 120.90 165.95 5625.00 5650.00 117.10 130.90 41,47 51.80 53 50 55.90 C C P 134,60 182.51 33.94 34.10 46.00 46.00 C 5675.00 P 150.10 109.99 146.10 162.90 22.5 34.20 36.60 37.50 5700.00 P 166.80 218.64 L. 01/12/2014106 DECEMBER 2021 PRICES - 01/12/20 SETTL LAST Bio ASK STRIKE BIG LAST SETTL + 593.25 618.60 $39.60 C 5100.00 P 300.40 331.66 552.30 570 30 5200.00 P 332.80 365.43 + 526.41 463.30 404.51 488.10 S04.10 C 5300.00 P 368.10 402.93 + - 426,10 462.10 C 5400.00 P 402.70 444.25 348.66 369.20 383.90 5500.00 P 449.60 489.52 297.50 313.10 C 5600.00 496,50 538.95 33110 281.10 C 5700.00 P 548.70 $93.93 + 269.10 224.80 152.90 236.80 C 5800.00 P 603.60 251.85 210.82 14236 92.02 653.50 + 162.90 6000.00 P 732.60 786.26 + 100.00 108.00 C 6200,00 878,50 937.14 5616 - 10.00 6400,00 1102.53 21 Leated 01/12/2013 Page 2 sur 4 Exercise 1 (6 points): 1) Build a bull spread with the Puts 5550 and 5600. Use the settlement prices. 2) Build a bull spread with the Puts 5550 and 5600. Use the book prices. 3) Compare your answer to 1) and 2). What do you remark ? Comment Hereafter you will find information from the Derivatives market on the CAC 40: PRICES - 1 DEC 2020 DEUVERY RID ASK LAST TIME DAT VOL OPEN HIGH LOR SETTE 01 Dec 20 5.570,50 5.571.00 5.562.50 15:28 03.60 36.436 5,553.00 5.580.00 5.520.50 5,509.00 267,738 81 Jan 21 5,559.00 5,561.50 5,550.50 15.21 52.00 25 5,544.50 5,563,50 5,516,00 5,498.50 Feb 21 0.00 5,495 50 Har 21 0.00 5.550.50 5,445,50 5,559.00 5,476,50 22 11 - 0.00 5,492 50 5,403.50 5,380.50 Jun 21 Sep 21 Dec 21 - 0.00 0.00 5,360.00 5,003 Jun 22 0.00 5,300.50 Dec 22 0.00 5.281.50 9,501 Jun 23 9.00 Dec 23 3,00 5,191.50 5.159.50 5.081.50 1 Jun 24 3.00 0.00 5,061.50 1 DECEMBER 2020 PRICES - 01/12/20 SETTL LAST ASK STHIKE ASK LAST SETTL 142.97 174.60 177.70 5450.00 P 52.70 55.40 58.20 83,96 126.55 159.00 C 5475.00 P 59,10 61.90 92.54 155.90 138.10 111.05 135.00 141.10 C 5500.00 P 66.30 69.20 72.50 102.05 96.61 121.20 124.20 C $525.00 P 74.30 77.30 14.00 112.62 83.19 99.80 105.40 C $550.00 P 83.30 36,50 108.30 93.40 124.20 136.94 90.50 C 5575.00 P 93.40 96.80 101.00 70.92 59.81 76,20 76.90 79.60 C 5600.00 P 104.60 108.20 150.86 49.91 69.00 64.50 67.10 C P 120.90 165.95 5625.00 5650.00 117.10 130.90 41,47 51.80 53 50 55.90 C C P 134,60 182.51 33.94 34.10 46.00 46.00 C 5675.00 P 150.10 109.99 146.10 162.90 22.5 34.20 36.60 37.50 5700.00 P 166.80 218.64 L. 01/12/2014106 DECEMBER 2021 PRICES - 01/12/20 SETTL LAST Bio ASK STRIKE BIG LAST SETTL + 593.25 618.60 $39.60 C 5100.00 P 300.40 331.66 552.30 570 30 5200.00 P 332.80 365.43 + 526.41 463.30 404.51 488.10 S04.10 C 5300.00 P 368.10 402.93 + - 426,10 462.10 C 5400.00 P 402.70 444.25 348.66 369.20 383.90 5500.00 P 449.60 489.52 297.50 313.10 C 5600.00 496,50 538.95 33110 281.10 C 5700.00 P 548.70 $93.93 + 269.10 224.80 152.90 236.80 C 5800.00 P 603.60 251.85 210.82 14236 92.02 653.50 + 162.90 6000.00 P 732.60 786.26 + 100.00 108.00 C 6200,00 878,50 937.14 5616 - 10.00 6400,00 1102.53 21 Leated 01/12/2013 Page 2 sur 4 Exercise 1 (6 points): 1) Build a bull spread with the Puts 5550 and 5600. Use the settlement prices. 2) Build a bull spread with the Puts 5550 and 5600. Use the book prices. 3) Compare your answer to 1) and 2). What do you remark ? Comment

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