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A stock normally has volatility. Earnings fall inside the next five trading days, and the market expects an earnings jump with a one-standard-deviation size of , on top of that day’s ordinary volatility. What annualised implied volatility should the one-week option show, in percent to one decimal?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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