implied volatility general properties Strikes in sect 91, we define the implied volatility in general models of call op-  tion prices and discuss its elementary properties implied volatility models free of.
{"Image DocumentName": "Session 11: Introduction to Options: Option Properties, Option Payoffs", "Image ImageDescription": "How to Construct a Hockey Stick. General principles for plotting position values as of option expiration: The payoff pattern will normally have one kink for each different strike price among the options in the position. Start by valuing the position at the kink points (options with those strikes have payoff of zero) Connect the kink points with straight lines (payoffs at maturity are linear) Check that the picture makes sense. To plot position values prior to option expiration, you need an option pricing model, such as Black-Scholes. Note: The picture is for a protective put using the ATM 100 strike put! THEY SHOULD CALCULATE THESE THINGS FOR THE ATM PROTECTIVE PUT:   cost = =   bullish; defensive; higher probability of exercise / more protection; breakeven => ST = ; best way up; worst 0.   standstill = 100 / = -2.49% (plus any dividends)   if exercised => 100 / = -2.49%   if not exercised =>  2.55 less than w/o put. (% depends on ST: ST=110, r=7.26%(-2.74%), ST=200, r=95.03%(-4.97%)) FINC-UB.0043 Futures and Options Spring 2017 Part II: Option Pricing and Hedging \u00a92017 Figlewski.", "Image XResolution": "300", "Image YResolution": "300", "Image ResolutionUnit": "Pixels/Inch", "Image Software": "SlidePlayer", "Image YCbCrPositioning": "Centered"}