The following quotes were observed for options on a given stock on November 1 of a given year. These are American calls except where indicated. Assume the stock price was 107.86, the risk-free rates were 6.95 percent (November), 7.14 percent (December) and 7.26 percent (January). The times to expiration were 0.0366 (November), 0.1278 (December), and 0.1914 (January). Assume no dividends unless indicated.
|
Calls |
Puts |
||||
Strike |
Nov |
Dec |
Jan |
Nov |
Dec |
Jan |
100.00 |
8.00 |
9.52 |
10.95 |
5.05 |
1.24 |
1.90 |
104.76 |
4.19 |
6.76 |
7.90 |
0.86 |
2.38 |
3.62 |
109.52 |
1.43 |
3.71 |
5.05 |
2.67 |
4.57 |
4.57 |
What is the time value of the November 109.52 call?
Time Value of Call=Call price or premium-MAX(stock price-strike price,0)=1.43-MAX(107.86-109.52,0)=1.43
The following quotes were observed for options on a given stock on November 1 of a...
The following quotes were observed for options on a given stock on November 1 of a given year. These are American calls except where indicated. Assume the stock price was 107.86, the risk-free rates were 6.95 percent (November), 7.14 percent (December) and 7.26 percent (January). The times to expiration were 0.0366 (November), 0.1278 (December), and 0.1914 (January). Assume no dividends unless indicated. Calls Puts Strike Nov Dec Jan Nov Dec Jan 100.00 8.00 9.52 10.95 5.05 1.24 1.90 104.76...
The following quotes were observed for options on a given stock on November 1 of a given year. These are American calls except where indicated. Calls Puts Strike Nov Dec Jan Nov Dec Jan 105 8.375 10 11.5 5.3125 1.25 2 110 4.375 7.125 8.25 0.9375 2.50 3.75 115 1.50 3.875 5.25 2.8125 4.75 4.75 The stock price was 113.25. The risk-free rates were 7.30 percent (November), 7.50 percent (December) and 7.62 percent (January). The times to expiration were .0384...
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The following quotes were observed for options on a given stock on November 1 of a given year. These are American calls except where indicated. Use the information to answer questions 19 through 24. Calls Puts Dec Nov Dec Jan Nov Jan 83/8 10 11 1/2 5/16 Strike 105 110 115 71/8 8 1/4 33/4 4 3/8 112 15/16 2 13/16 2 1/2 4 3/4 1 3 7/8 51/4 4 3/4 The stock price was 113 1/4. The risk-free rates...