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You've decided that index put options are attractive to sell. For simplicity, assume the current...

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You've decided that index put options are attractive to sell. For simplicity, assume the current S&P500 index level is 100 and the risk-free rate is 1%. You sell one S&P500 index European put option with a strike of 96 and a one-month maturity. The implied volatility of the option is 23% and the price is $1.048 (i.e., you receive this amount in cash from the option sale). You believe that the annual expected return of the S&P500 index will be 6% with a volatility of 18%. What is your expected return from your sale? 49.45% O 1.65% 19.45% O -5,65% You've decided that index put options are attractive to sell. For simplicity, assume the current S&P500 index level is 100 and the risk-free rate is 1%. You sell one S&P500 index European put option with a strike of 96 and a one-month maturity. The implied volatility of the option is 23% and the price is $1.048 (i.e., you receive this amount in cash from the option sale). You believe that the annual expected return of the S&P500 index will be 6% with a volatility of 18%. What is your expected return from your sale? 49.45% O 1.65% 19.45% O -5,65%

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