Think of this like a homework assignment to help you do basic reasoning about option prices. It requires no more than elementary arithmetic and the concept of expected value.
Assume 0% cost of carry for these questions.
<aside> 1️⃣ A stock is fairly priced at $100. In one year, it will either be $50 or $125.
What are the probabilities that make the stock fairly priced?
<aside> 2️⃣ Fill in the table for log moneyness for the put and call strikes
<aside> 3️⃣ Fill in the table for max payoff of the options
<aside> 4️⃣ Fill in the table for fair value of the options
<aside> 5️⃣ Fill in the table for delta of the options
<aside> 6️⃣ Look back at the deltas. What do you notice?
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