AdvancedNumeric answer
You price volatility in trading time at over trading days, and assume no variance accrues at weekends. An option expires in calendar days containing trading days. What volatility should it show when annualised over a -day calendar year, in percent to two decimals?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
Learn the method
Reported in interviews at
More volatility questions
- A name has 32% annualised volatility.Foundation
- Implied volatility is 25% and expiry is 63 trading days away, out of 252 in a year.Foundation
- A weekly at-the-money straddle on a $100 stock costs $4.Foundation
- Pricing an earnings move, part 1 of 3Foundation
- A name moves 2% a day.Applied
- On an equity index, out-of-the-money puts consistently imply higher volatility…Applied