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Given the following market data: S&P 500 index = 2,680 1-month S&P500 call option with strike price $2700 trades at $45.05 Current 1-year...

Given the following market data:

 

S&P 500 index = 2,680

1-month S&P500 call option with strike price $2700 trades at $45.05

Current 1-year T-bill yield = 1.2%

What is the implied volatility of the S&P500, i.e. at what level is the VIX?

 

  1. 22.5%
  2. 18.5%
  3. 25.6%
  4. 17.2%
  5. 30.1%

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