The value of the S&P 500 index is now 2790. The volatility of the index...

Name: The value of the S P 500 index is now 2790 The volatility o
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The value of the S&P 500 index is now 2790. The volatility of the index has been calculated at 20% and its dividend rate is zero. The risk-free interest rate is 3.3% (for the period considered in this exercise). The S&P 500 index has a call option with a redemption price of 2,700, with a maturity of 60 days. (Calculate the expiration date assuming 250 trading days per year.) In the market, the price of this call option is 183.50. a) At what volatility does the market price the call option? b) What is the significance of implied volatility and what can it be used for?

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