A weekly chain has the following OI, in lots:
| Strike | 24,000 | 24,100 | 24,200 | 24,300 | 24,400 |
|---|---|---|---|---|---|
| Call OI | 20 | 40 | 90 | 150 | 120 |
| Put OI | 140 | 160 | 100 | 30 | 10 |
(a) Compute at each strike (in lot-points) and the max pain strike. Give at max pain in rupees. (b) Verify the subgradient condition of Proposition 9A.3 at max pain. (c) Compute . (d) Add 300 lots of put OI at 24,000. What happens to at each strike and to max pain? Then (starting again from the original chain) add 100 lots of calls and 100 lots of puts at 24,400. What happens to max pain? Explain both results with (9A.5).