Problem 15-6 Calculating Option Payoffs (LO2, CFA2) Calls Puts Close Hend reeks Strike Price Expiration Volume Last Volume Last 103 100 February 72 5.20 50 2.40 103 100 March 41 8.40 29 4.90 103 100 April 16 10.68 10 6.60 103 100 July 8 14.30 2 10.10 Suppose you buy 55 March 100 put option contracts. What is your maximum gain? On the expiration date, Hendreeks is selling for $85.35 per share. How much is your options investment worth? What is your net gain? Note: Do not round intermediate calculations. Maximum gain Terminal value Net gain
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- Maturity Days to Maturity BID ASKED CHANGE ASKED YIELD 26 Sep 19 23 1.940 1.930 0.002 1.968 12 Dec 19 100 1.878 1.868 -0.018 1.908 How can we calculate Change numbers. Why one is negative while the other is positiveProblem 6-1 Financial Pages (LO1) Consider the table given below to answer the following question. Maturity Coupon Bid Price Asked Price Chg Asked Yield toMaturity (%) 15-02-2020 1.375 98.3281 98.3438 − 0.0078 2.228 15-02-2021 2.25 99.5781 99.5938 0.0313 2.391 15-02-2025 7.625 130.6719 130.6875 0.1094 2.770 15-02-2029 5.25 121.8516 121.9141 0.2344 2.908 15-02-2036 4.5 120.9063 120.9688 0.5313 2.986 15-02-2041 4.75 127.2422 127.3047 0.6641 3.084 15-02-2048 3 97.2656 97.2969 0.7266 3.140 a. What is the current yield of the 2.25% 2021 maturity bond? (Do not round intermediate calculations. Round your answer to 2 decimal places.)Form a long butterfly spread using the three call options in the table below: CI C2 C3 Strike- $90 Strike $100 Strike= $110 Expiry=180 days Expiry=180 days Expiry=180 days Price 16.3300 10.3000 6.0600 DELTA 0.500 0.721 0.81 GAMMA 0.0138 0.0181 0.0187 THETA -11.2054 -12.2607 -11.4208 VEGA 20.4619 22.8416 25.6602 RHO 25.7085 21.2515 17.5394 How would you make this portfolio delta neutral? Suppose that the size of one option is 1000 underlying assets. Oa. Short 132 underlying assets. Ob. Long 252 underlying assets. Short 231 underlying assets. Od. Long 132 underlying assets.
- Calls Puts Close Strike Price Expiration Vol. Last Vol. Last Hendreeks 103 100 Feb 72 5.20 50 2.40 103 100 Mar 41 8.40 29 4.90 103 100 Apr 16 10.68 10 6.60 103 100 Jul 8 14.30 2 10.10 Suppose you buy 50 April 100 call option contracts. How much will you pay, ignoring commissions?Basic Option Strategies Profit Computation Assume the below prices for calls and puts: Call Put Strike Jul Aug Oct Jul Aug Oct 165 2.7 5.25 8.1 2.4 4.75 6.75 170 0.8 3.25 6 5.75 7.5 9 Buy one August 170 put contract. Hold it until expiration. Identify the breakeven stock price at expiration. What is the profit/loss if ST=190? Buy one October 165 call contract. Hold it until the options expire. Identify the breakeven stock price at expiration. What is the Maximum possible loss from the transaction? What is the profit/loss if ST=185 Buy 100 shares of stocks and buy one August 165 put contract. Hold the position until expiration. Determine the breakeven stock price at expiration, the maximum profit and the maximum loss. What is the profit/loss if ST=150. Buy 100 shares of stock and write one October 170 call contract. Hold the position until expiration. Determine the breakeven stock price at expiration, the maximum profit…Intermediate Problems 4-5 BLACK-SCHOLES MODEL Assume that you have been given the following information on Fire Industries: Current stock price = 16 Exercise price of option = 16 Time until expiration of option = 6 months Risk-free rate = 8% Variance of stock price = 0.12 d1 =0.28577 d2 = 0.04082 N(d1) = 0.61247 N(d2) = 051628 Using the Black-Scholes Option Pricing Model, what is the value of the option?
- Basic Option Strategies Profit Computation Assume the below prices for calls and puts: Call Put Strike Jul Aug Oct Jul Aug Oct 165 2.7 5.25 8.1 2.4 4.75 6.75 170 0.8 3.25 6 5.75 7.5 9 Buy one August 170 call contract. Hold it until expiration. Identify the breakeven stock price at expiration. What is the profit/loss if ST=190? What is the maximum profit? Buy one October 165 put contract. Hold it until the options expire. Identify the breakeven stock price at expiration. What is the Maximum possible loss from the transaction? What is the profit/loss if ST=185Basic Option Strategies Profit Computation Assume the below prices for calls and puts: Call Put Strike Jul Aug Oct Jul Aug Oct 165 2.7 5.25 8.1 2.4 4.75 6.75 170 0.8 3.25 6 5.75 7.5 1. Buy one August 170 call contract. Hold it until expiration. lIdentify the breakeven stock price at expiration. What is the profit/loss if ST=190? What is the maximum profit? 2. Buy one October 165 put contract. Hold it until the options expire. Identify the breakeven stock price at expiration. What is the Maximum possible loss from the transaction? What is the profit/loss if ST=185Basic Option Strategies Profit Computation Assume the below prices for calls and puts: Call Call Call Put Put Put Strike Jul Aug Oct Jul Aug Oct 165 2.7 5.25 8.1 2.4 4.75 6.75 170 0.8 3.25 6 5.75 7.5 9 Buy one August 170 put contract. Hold it until expiration. Identify the breakeven stock price at expiration. What is the profit/loss if ST=190? Buy one October 165 call contract. Hold it until the options expire. Identify the breakeven stock price at expiration. What is the Maximum possible loss from the transaction? What is the profit/loss if ST=185 Buy 100 shares of stocks and buy one August 165 put contract. Hold the position until expiration. Determine the breakeven stock price at expiration, the maximum profit and the maximum loss. What is the profit/loss if ST=150. Buy 100 shares of stock and write one October 170 call contract. Hold the position until expiration. Determine the breakeven stock price at expiration, the…
- Contract Name Last Trade Date Last Price Bid Ask Change % Change Volume Open Interest Implied Volatility AAPL200417C00105000 (Links to an external site.) 2019-11-19 3:53PM EST 105.00 (Links to an external site.) 160.65 160.75 165.40 0.00 - 20 100 78.61% 7. Is this contract a call or a put option? 8. How much do you need to pay to buy this option contract? Hint: when you buy the contract, you need to use Ask price.uI Ses/4210/quizzes/204995|lake Question 9 Apple stock is trading at S = $200 while a put option on Apple that expires in one year with strike price $220 is trading at Pa20 (200) = $27. Assuming there is no arbitrage in the market and that the risk-free interest rate r is zero, what is the value of a call option on Apple that expires in one year with strike price $220, C220 (200) ? Please express your answer in dollars, rounded to the nearest integer dollar.Problem 15-11 Put-Call Parity (LO4, CFA1) A call option is currently selling for $4.40. It has a strike price of $55 and six months to maturity. The current stock price is $57 and the risk-free rate is 3.4 percent. The stock will pay a dividend of $2.05 in two months. What is the price of a put option with the same exercise price? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Price of a put option