Q1: We sold 10 call option contracts (recalling that one contract represents 100 shares of stock)....
Q1: We sold 10 call option contracts (recalling that one contract represents 100 shares of stock). As of today the delta is 0.6. How many shares of stock should we hold to be delta neutral?
Q2: The delta for put option is -0.4. What is delta for corresponding call option(same strike and maturity)?
Homework Answers
1.
=Delta of call*number of contracts*contract size
=0.6*10*100
=600
2.
=Delta of Put+1
=-0.4+1
=0.6
Add Answer to:
Q1: We sold 10 call option contracts (recalling that one
contract represents 100 shares of stock)....
5. Suppose that you sold an American put option P on the underlying stock ABC. You...
5. Suppose that you sold an American put option P on the underlying stock ABC. You calculated the delta and gamma of the put option and found Ap = -0.4 and Ip= 0.3. Suppose you want a position which is both delta and gamma neutral. Determine the hedge in the following two cases: (a) Use the underlying stock itself and a call option C on the stock (with different strike and maturity as the put), with Ac 0.25 and Io...
A stock option market maker has a portfolio consisting of 200 shares of ABC Corp, and...
A stock option market maker has a portfolio consisting of 200 shares of ABC Corp, and the following option positions on ABC Corp. For simplicity, each option is assumed to be written on a single share of the stock. Quantity Exercise Price Option Type Price Delta Gamma 100 Stock 120 1 0 150 120 Call 4,3585 0,5362 0,0385 -120 125 Call 4,1383 0,4179 0,0268 100 115 Put 4,1947 -0,3289 0,0202 -100 130 Call 3,5891 0,2982 0,0238 The market maker is...
A stock option market maker has a portfolio consisting of 200 shares of ABC Corp, and...
A stock option market maker has a portfolio consisting of 200
shares of ABC Corp, and the following option positions on ABC Corp.
For simplicity, each option is assumed to be written on a single
share of the stock.
The market maker is worried about stock price movements in ABC’s
stock and would like to make his portfolio delta-neutral and gamma
neutral over the night. The current stock price of ABC is $120, the
volatility of the stock is 30%,...
A trader buys 10 Put Option contracts (1 contract is 100 shares) on AAPL with March...
A trader buys 10 Put Option contracts (1 contract is 100 shares) on AAPL with March 2019 expiration and strike price $150. The price of the option was $4.50. What are trader's potential gains and losses? O A Unlimited loss, gain is limited to $4,500 O B ossis limited to $150,000, gain is limited to $4,500. O C Unlimited profit, loss is limited to $4,500 O D Profit is limited to $145,500, loss is limited to $4,500
Question 7: 1. Both a call option and a put option are currently traded on stock...
Question 7:
1. Both a call option and a put option are currently traded on stock AXT. Both options have a strike price of $90 and maturity (T) of three months. The call premium (Co) is $2.75, the put premium (Po) is $4.12, and the underlying stock price (So) is $89.50. Assume that you trade one contract that has 100 shares when you calculate profit or loss. What will be your profit (or loss) if you take a long position...
4. A call option currently sells for $7.75. It has a strike price of $85 and...
4. A call option currently sells for $7.75. It has a strike price of $85 and seven months to maturity. A put with the same strike and expiration date sells for $6.00. If the risk-free interest rate is 3.2 percent, what is the current stock price? 5. Suppose you buy one SPX call option contract with a strike of 1300. At maturity, the S&P 500 Index is at 1321. What is your net gain or loss if the premium you...
QUESTION 12 A call option on a stock, with time to maturity of 2 months and...
QUESTION 12 A call option on a stock, with time to maturity of 2 months and strike price of $25.67, is currently trading at a premium of $1.78 per share. If you buy options on 20,000 shares (200 contracts), and then at maturity the stock is trading at $22.76, what is your net profit from this position? QUESTION 13 A futures contract on copper traded at the Chicago Mercantile Exchange has a denomination of 25,000 pounds. Today you enter into...
please just do question 7. thank you Silicon MicroSystems, Inc. (SMSI) stock is currently selling for...
please just do question 7.
thank you
Silicon MicroSystems, Inc. (SMSI) stock is currently selling for $100 and the firm pays no dividends. The stock's volatility is 0.30 and the risk-free rate is 8%. Consider the following 6-month call and put options on SMSI stock (assume that contract size is 1 share): 6. Call 1 Call 2 Call 3 Strike $90 Price $12.817 $6.999 $3.380 Delta Gamma $100$110 0.7690.548 0.333 ma 0.0180.024 0.022 Put 1 90 Put 2 Put 3...
A stock price is $25. An investor buys one put option contract on the stock with...
A stock price is $25. An investor buys one put option contract on the stock with a strike price of $24 and sells a put option contract on the stock with a strike price of $22.50. The market prices of the options are $2.12 and$1.95, respectively. The options have the same maturity date. Describe the investor's position and the possible gain/loss he will get (taking into account the initial investment).
Ou sell (write) four call option contracts with a strike price of $27.50 and an option remium of ...
32 33 please!!!
ou sell (write) four call option contracts with a strike price of $27.50 and an option remium of $0.66. At expiration, the stock was selling for $26.90 a share. What is the total profit or loss on your option position? 2) You purchased three put option contracts with a strike price of $30 and a premium of $o.90 At expiration, the stock was selling for $24.80 a share. What is the total profit or loss on your...
5. Suppose that you sold an American put option P on the underlying stock ABC. You calculated the delta and gamma of the put option and found Ap = -0.4 and Ip= 0.3. Suppose you want a position which is both delta and gamma neutral. Determine the hedge in the following two cases: (a) Use the underlying stock itself and a call option C on the stock (with different strike and maturity as the put), with Ac 0.25 and Io...
A stock option market maker has a portfolio consisting of 200
shares of ABC Corp, and the following option positions on ABC Corp.
For simplicity, each option is assumed to be written on a single
share of the stock.
The market maker is worried about stock price movements in ABC’s
stock and would like to make his portfolio delta-neutral and gamma
neutral over the night. The current stock price of ABC is $120, the
volatility of the stock is 30%,...
A trader buys 10 Put Option contracts (1 contract is 100 shares) on AAPL with March 2019 expiration and strike price $150. The price of the option was $4.50. What are trader's potential gains and losses? O A Unlimited loss, gain is limited to $4,500 O B ossis limited to $150,000, gain is limited to $4,500. O C Unlimited profit, loss is limited to $4,500 O D Profit is limited to $145,500, loss is limited to $4,500
Question 7:
1. Both a call option and a put option are currently traded on stock AXT. Both options have a strike price of $90 and maturity (T) of three months. The call premium (Co) is $2.75, the put premium (Po) is $4.12, and the underlying stock price (So) is $89.50. Assume that you trade one contract that has 100 shares when you calculate profit or loss. What will be your profit (or loss) if you take a long position...
QUESTION 12 A call option on a stock, with time to maturity of 2 months and strike price of $25.67, is currently trading at a premium of $1.78 per share. If you buy options on 20,000 shares (200 contracts), and then at maturity the stock is trading at $22.76, what is your net profit from this position? QUESTION 13 A futures contract on copper traded at the Chicago Mercantile Exchange has a denomination of 25,000 pounds. Today you enter into...
please just do question 7.
thank you
Silicon MicroSystems, Inc. (SMSI) stock is currently selling for $100 and the firm pays no dividends. The stock's volatility is 0.30 and the risk-free rate is 8%. Consider the following 6-month call and put options on SMSI stock (assume that contract size is 1 share): 6. Call 1 Call 2 Call 3 Strike $90 Price $12.817 $6.999 $3.380 Delta Gamma $100$110 0.7690.548 0.333 ma 0.0180.024 0.022 Put 1 90 Put 2 Put 3...
32 33 please!!!
ou sell (write) four call option contracts with a strike price of $27.50 and an option remium of $0.66. At expiration, the stock was selling for $26.90 a share. What is the total profit or loss on your option position? 2) You purchased three put option contracts with a strike price of $30 and a premium of $o.90 At expiration, the stock was selling for $24.80 a share. What is the total profit or loss on your...
Most questions answered within 3 hours.
-
A parallel plate capacitor has a charge Q, plates of area A and
separation d, where...
asked 51 seconds ago -
This question goes along with my test results for a psychology
seminar. The results were the...
asked 1 minute ago -
A calorimeter contains 35.0 mL of water at 13.0 ∘C . When 1.40 g
of X...
asked 6 minutes ago -
[The following information applies to the questions
displayed below.]
Arndt, Inc. reported the following for 2021...
asked 7 minutes ago -
Equivalent Units of Conversion Costs
The Rolling Department of Kraus Steel Company had 2,370 tons in...
asked 13 minutes ago -
Genetic differences between closely related species are due to
changes at both synonymous and nonsynonymous sites...
asked 19 minutes ago -
Assignment:
Implement an 8 bit register in VHDL/Verilog using Model Sim
software. Show two test cases...
asked 23 minutes ago -
Think about the published number of fatalities in the
September 11th disaster in New York. Why...
asked 21 minutes ago -
Suppose you are very allergic to peanuts or even grass, and you
go into anaphylactic shock....
asked 22 minutes ago -
The governor has proposed to clean up all the trash on the side
of the highway....
asked 38 minutes ago -
molecule
lewis structure
electron geometry
molecular geometry
bond angles
polar or non polar
#valenceelectrons
I3^-
SO2...
asked 38 minutes ago -
Freedman-Nissim-Pinkas Protocol not always correct. Explain
briefly why
asked 42 minutes ago