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option

amir

amir

Joined
11/11/09
Messages
52
Points
18
some questions:
consider some s&p500 index call option data. let Moneyness be defi…ned as implied futures price P divided by strike price K. when the ratio is smaller than one then the contract is an OTM call.
Question1: does the implied futures price P mean the current value of the index compounded to the maturity?
Question2: if yes, where can I get the interest rate, for instance for today, to do so?
Question3: where in the market the term structure of interest rates is reported?
thanks
 
I believe implied future price would be the price implied by options (aka roll already taken into account) find the nearest strike to the future and use put call parity (European future options, ignore carry and dividend) to find the implied future price
 
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