代写Derivatives代写数据结构语言程序

日期：2024-08-24 07:26

Derivatives (M)

Individual Assignment (25%)

•   Submit your assignment electronically via the Turnitin Assignment tool by Friday 6th September. The link for the Turnitin Assignment tool has been created for you under the Assignment  page on MyUni. You will need to upload your  assignment in a Word document ONLY to Turnitin. Email submission will not be considered. Students are expected to submit their work by the due date to maintain a fair and equitable system.

•   Statement of Acknowledgement of Original Work

By submitting your assignment, you declare that all material in this assessment is your own work. You have also read theUniversity's Academic Honesty Policy.

•   While you are encouraged to make use of LSEG student access for your individual research, it is a requirement to use ONLY the data provided in the “Assignment Data” file for  this assignment.

Preamble

The spate of market gyrations in recent times have had a significant impact on options pricing dynamics, leading to higher implied volatility and steepened volatility skew across a spectrum of strike prices. Yet, much of the volatility in the equities market has been attributed to increased interest in trading out of the money options.

The volatility skew of a stock option can offer insight into traders’ interest in the stock, thus providing valuable cues into often volatile price movements. Opportunities can be had with the myriads of option strategies available to take advantage of the potential price movements.

In this assignment, you would analyse the put-call ratio and volatility skew of a stock option to determine the market sentiment  and  potential price swings. Armed with this information, determine an appropriate option strategy to capitalise on the opportunity presented.

The assignment (22 marks)

From the implied volatility data across different strike prices provided for the period 2nd  January 2024 to 19th August 2024, determine the directionalbias and potential price swings expected in the market. You are required to, at a minimum:

•       select an appropriate delta to plot the put-call ratio graph for the period 2nd  January 2024 to 19th August 2024. Explain your choice of delta.                       (3 marks)

•      analyze the put-call ratio graph to determine the market expectation for the period of 20th August 2024 - 3rd September  2024. Explain your findings and how that lead to your conclusion of whether the market is likely to be bullish, bearish or neutral.    (3 marks)

•      plot the volatility skew on the 20th August. Assuming the At-The-Money options (45 - Delta) are fairly-valued, explain the implications of the volatility skew/smile and how that influences your choice of option strategy.     (4 marks)

Next, execute an option strategy for the period 20th  August 2024 to 3rd August 2024 to capitalize on the opportunity presented from your analyses above. You are required to, at a minimum:

•      determine an option strategy appropriate to your analyses above. Explain your choice of the strategy and its execution.     (4 marks)

•      tabulate a record of all transactions and determine the profit/loss at the end of the two weeks period             (4 marks)

•      evaluate the effectiveness of your strategy, the reasons for its successor failure, and how the outcome could be improved. Calculations are required to support your discussion. (4 marks)

Report writing and presentation (3 marks)

Your report must document a complete discussion of the process outlined above, including full details of transactions executed. Transaction costs must bear evidence that it is a realistic figure. Good structure, presentation and concise writing skills are likewise important. Your report length must have a minimum word count of 2,500 words (size 12 font, 1.5 spacing), including all discussion, graphs, tables and references.