Amazon’s stock price is currently $3,084 and call options with exactly 3 months to expiration and an exercise price of $3,100 are quoted at $208. The 3-month T-bill rate is currently 0.75% and the stock does not pay dividends. Based on this information, what is the implied standard deviation of Amazon stock returns, in annual terms, over the next 3 months?
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Amazon’s stock price is currently $3,084 and call options with exactly 3 months to expiration and an exercise price of $3,100 are quoted at $208. The 3-month T-bill rate is currently 0.75% and the stock does not pay dividends. Based on this information, what is the implied standard deviation of Amazon stock returns, in annual terms, over the next 3 months? Please calculate by hand.
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