Tough question - fellow hedgies - please advise

I just joined a HF as an investment analyst (equities) and doesn't work on the trading side. My boss gave this order to our broker for an options trade and asked me to think about several follow up questions over the weekend (supposedly to broaden my skill-set beyond research). I haven't taken an options class and would really appreciate your help. The order he gave was:

XYZ 29Apr10 6.5 AC 6.26 Ref. Delta=25%, Price= 0.07/, Vol= 14.25%/

Suppose XYZ above is the ticker.

His questions were:

  • What does the above order mean?
  • Calculate the put-call parity
  • Determine the price of call when stock is $6.30
  • Verify that 0.07 is actually 14.25% volatility
  • calculate price of option if it is based on 15% volatility

He then asked me to think about a different situation: we are working on a merger arb trade in Asia which has a "market out" condition (i.e. if, say, the Hang Seng index drops by

 

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