Which of the following option sensitivity measures are negative? Mark all that apply. Put's delta Call's...
Which of the following option sensitivity measures are negative? Mark all that apply.
Put's delta
Call's Rho
Put's gamma
Call's Vega
Call's Theta
Call's delta
Put's Theta
Put's Rho
Homework Answers
The following option sensitivity measures or option greeks are negative:
Call theta
Put theta
Put delta
Put's rho
Add Answer to:
Which of the following option sensitivity measures are negative?
Mark all that apply.
Put's delta
Call's...
Opion Raitr Call Option sold has the following details. The stock price is $49, the 100,000...
Opion Raitr Call Option sold has the following details. The stock price is $49, the 100,000 Stocks the nsk-free rate is 5%, the stock price volatility is 20%, and the time 20 weeks or 20/52 year. Table below shows Delta, Gamma, Vega, Theta, position in one option) to and Rho for the option (i e, for a long Single Option Value (S) Delta (per $) Gamma (per S) Vega (per %) Theta (per day) Rho (per %) $2.40 0.522 0.066...
B. decreases by approximately 4.3%. C. decreases by approximately $1.72. Answer C The put option will...
B. decreases by approximately 4.3%. C. decreases by approximately $1.72. Answer C The put option will decrease in value as the underlying stock price increases: -0.43 x S4 S1.72. 100,000 Stocks Call Option sold has the following details. The stock price is $49, the strike price is $50, the risk-free rate is 5%, the stock price volatility is 20%, and the time to exercise is 20 weeks or 20/52 year. Table below shows Delta, Gamma, Vega, Theta and Rho for...
Both band ) Unable to determine If you write a call hoping to benefit from the...
Both band ) Unable to determine If you write a call hoping to benefit from the time decay of the options premium, which one of the following measures would you use? Theta, expressed in percentage Theta, expressed in dollars Delta, expressed in percentage Delta, expressed in dollars Gamma, expressed in percentage Which of the following measures the change in the options value, given 1% change in volatility? Delta Gamma Theta Vega Rho Which of the following measures the change in...
3.5 In the Black-Scholes option pricing model, value of an option decreases, all else equal, as...
3.5 In the Black-Scholes option pricing model, value of an option decreases, all else equal, as it nears expiration. (True / False) 3.6 The Black-Scholes option pricing model assumes which of the following? a. Jumps in the underlying price b. Constant volatility of the underlying c. Possibility of negative underlying price d. Interest rate increasing as option nears expiration 3.7 Which Greek shows how sensitive option delta is to the price of the underlying asset? a. Vega b. Gamma c....
To compute the value of a put using the Black-Scholes option pricing model, you: A) subtract...
To compute the value of a put using the Black-Scholes option pricing model, you: A) subtract the value of an equivalent call from 1.0. B) have to compute the value of the put as if it is a call and then apply the put-call parity formula. C) subtract the value of an equivalent call from the market price of the stock. D) assume the equivalent call is worthless and then apply the put-call parity formula. E) multiply the value of...
Problem 7 Using the information in the table below, derive your best estimate of the price of the put option, if at...
Problem 7 Using the information in the table below, derive your best estimate of the price of the put option, if at the same time the index level increases from 250 to 255, and the volatility increases from 10% to 14%. Assume that the changes happen instantaneously after the computation of the price and sensitivities given in the table below (no time decay). Underlying Type: Index Index Level: Volatility (% per year): Risk-Free Rate (% per year): Dividend Yield (%...
Form a long butterfly spread using the three call options in the table below CI X-...
Form a long butterfly spread using the three call options in the table below CI X- $90 C2 X= $100 C3 X= $110 T- 180 daysT- 180 daysT 180 davs 6.0600 0.4365 0.0187 11.4208 27.6602 18.5394 16.3300 0.7860 0.0138 Price DELTA GAMMA THETA VEGA RHO 10.3000 0.6151 0.0181 12.2607 26.8416 25.2515 11.2054 20.4619 30.7085 What does it cost to establish the butterfly spread? explain how each can be interpreted achieved by doing so? C3 remain the same. Does this create...
Which of the following best describes Vega Delta C / Delta S Delta C / Delta...
Which of the following best describes Vega Delta C / Delta S Delta C / Delta T Delta V / Delta S Delta V / Delta V None of the above Please explain your choice
. Which of the following best describes Rho a, Delta C / Delta V b. Delta...
. Which of the following best describes Rho a, Delta C / Delta V b. Delta C / Delta R c. Delta T / Delta S d. Delta T / Delta R e. None of the above PLEASE EXPLAIN YOUR CHOICE
[mark all that apply] Which of the following is a form of arthritis or leads to...
[mark all that apply] Which of the following is a form of arthritis or leads to a form of arthritis that can be classified as an autoimmune disease? a. septic arthritis b. lupus c. osteoarthritis d. rheumatoid arthritis e. gout
Opion Raitr Call Option sold has the following details. The stock price is $49, the 100,000 Stocks the nsk-free rate is 5%, the stock price volatility is 20%, and the time 20 weeks or 20/52 year. Table below shows Delta, Gamma, Vega, Theta, position in one option) to and Rho for the option (i e, for a long Single Option Value (S) Delta (per $) Gamma (per S) Vega (per %) Theta (per day) Rho (per %) $2.40 0.522 0.066...
B. decreases by approximately 4.3%. C. decreases by approximately $1.72. Answer C The put option will decrease in value as the underlying stock price increases: -0.43 x S4 S1.72. 100,000 Stocks Call Option sold has the following details. The stock price is $49, the strike price is $50, the risk-free rate is 5%, the stock price volatility is 20%, and the time to exercise is 20 weeks or 20/52 year. Table below shows Delta, Gamma, Vega, Theta and Rho for...
Both band ) Unable to determine If you write a call hoping to benefit from the time decay of the options premium, which one of the following measures would you use? Theta, expressed in percentage Theta, expressed in dollars Delta, expressed in percentage Delta, expressed in dollars Gamma, expressed in percentage Which of the following measures the change in the options value, given 1% change in volatility? Delta Gamma Theta Vega Rho Which of the following measures the change in...
3.5 In the Black-Scholes option pricing model, value of an option decreases, all else equal, as it nears expiration. (True / False) 3.6 The Black-Scholes option pricing model assumes which of the following? a. Jumps in the underlying price b. Constant volatility of the underlying c. Possibility of negative underlying price d. Interest rate increasing as option nears expiration 3.7 Which Greek shows how sensitive option delta is to the price of the underlying asset? a. Vega b. Gamma c....
To compute the value of a put using the Black-Scholes option pricing model, you: A) subtract the value of an equivalent call from 1.0. B) have to compute the value of the put as if it is a call and then apply the put-call parity formula. C) subtract the value of an equivalent call from the market price of the stock. D) assume the equivalent call is worthless and then apply the put-call parity formula. E) multiply the value of...
Problem 7 Using the information in the table below, derive your best estimate of the price of the put option, if at the same time the index level increases from 250 to 255, and the volatility increases from 10% to 14%. Assume that the changes happen instantaneously after the computation of the price and sensitivities given in the table below (no time decay). Underlying Type: Index Index Level: Volatility (% per year): Risk-Free Rate (% per year): Dividend Yield (%...
Form a long butterfly spread using the three call options in the table below CI X- $90 C2 X= $100 C3 X= $110 T- 180 daysT- 180 daysT 180 davs 6.0600 0.4365 0.0187 11.4208 27.6602 18.5394 16.3300 0.7860 0.0138 Price DELTA GAMMA THETA VEGA RHO 10.3000 0.6151 0.0181 12.2607 26.8416 25.2515 11.2054 20.4619 30.7085 What does it cost to establish the butterfly spread? explain how each can be interpreted achieved by doing so? C3 remain the same. Does this create...
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