aapl - AAPL Shortfall Interest Rate Rebate Rate LIBOR...

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AAPL 283.75 1.42 Shortfall 0.50% 285.17 282.33 Interest Rate 0.30% 0.60% 15.72 Rebate Rate 0.15% 0.15% Delta LIBOR 0.30% 0.52 Shares 1,000,000 Money Laid Out 132,568,400 skew 50 delta vol 21 call delta 0.27 put delta 0.32 skew 8.4 new call vol 17.14 put vol 24.02 term struc 2 21.0 0.30% 12 25.0 0.80% 6 22.6 0.50% 15 26.2 0.95% skew chart 1150 vol delta 80.00% 920 31.50 0.20 85.00% 978 29.90 0.25 90.00% 1035 27.70 0.32 95.00% 1093 26.30 0.38 100.00% 1150 25.00 0.49 105.00% 1208 23.70 0.43 110.00% 1265 22.50 0.36 115.00% 1323 21.50 0.27 120.00% 1380 19.80 0.18
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Assumptions: Stock Price 100 Strike Price 90 6-Month Libor 3.00% Dividend Yield 1.00% Volatility %/yr 28.28% Time to Expiration in Months 6 Calculations: Forward Price 101 6 Month Volatility 20% Cash Volatility 20 min max <61 0.0227 $0.00 $0.0000 $14.3908 $61.00 $63.00 0.0060 $0.00 $0.0000 $63.00 $65.00 0.0072 $0.00 $0.0000 $65.00 $67.00 0.0086 $0.00 $0.0000 $67.00 $69.00 0.0102 $0.00 $0.0000 $69.00 $71.00 0.0120 $0.00 $0.0000 $71.00
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This note was uploaded on 01/25/2011 for the course NBA 6940 at Cornell.

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aapl - AAPL Shortfall Interest Rate Rebate Rate LIBOR...

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