Problem 1: Portfolio of Options Draw the resulting payoff from the following combination of options. Make...
Problem 1: Portfolio of Options Draw the resulting payoff from the following combination of options. Make sure that you specify the coordinates of the payoff (x,y) at the intercept and at every strike price.
a. 1 long call with strike price 10 and 1 short call with strike price 12.
b. 1 short put with strike price 5 and one long put with strike price 9.
c. 1 long call with strike price 10 and 2 short call with strike price 12.
d. 5 long calls with strike price 12 and 2 short calls with strike price 14.
e. 3 long put with strike price 5, 2 short puts with strike price 7 and 4 long puts with strike price 9.
f. 1 short put with strike price 4, 1 long call with strike price 7 and long 1 stock.
g. 2 short stocks, 1 long put at strike price 5 and 1 long call at strike price 9.
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Problem 1: Portfolio of Options Draw the resulting payoff from
the following combination of options. Make...
please type your answer 4. Consider a portfolio consisting of 6 stocks and 10 put options...
please type your answer
4. Consider a portfolio consisting of 6 stocks and 10 put options on the stocks. The current stock price is So = 100 and the stike price of the options is X = 100. The stock price can take on only two values at maturity T given by Su = 120 and Sd = 90. The risk-free rate is given by 5%. (a) What is the payoff at maturity of the portfolio? (b) Calculate the "Delta"...
Home Task - Chapter 11. Long and Short Options Questions 1. Which is more profitable: to...
Home Task - Chapter 11. Long and Short Options Questions 1. Which is more profitable: to sell (sell-to-close) or exercise a long option before expiration? 2. Would a long option, which expired "in-the-money" be automatically exercised? 3. What is the highest potential gain/loss for a long call? 4. What is the highest potential gain/loss for a long put? 5. What is the difference between a naked call and a short call? 6. What is the difference between writing an option...
Problem 3: Draw a profit diagram for each of the following combined option positions. Combination 1:...
Problem 3: Draw a profit diagram for each of the following combined option positions. Combination 1: 4 Short 1 call with an exercise price of $50 with a call price of $2, and Long 1 call with an exercise price of $55 with a call price of $1. A Combination 2: 소 소소 Long 1 call with an exercise price of $50 with a call price of $2, and Long 1 put with an exercise price of $50 with a...
It PusUNUI Cakcyl pom . 9) Consider the following example: SP = $75, UA = $95,...
It PusUNUI Cakcyl pom . 9) Consider the following example: SP = $75, UA = $95, and c 0 = $18. In this case, what is the long call's P&L? 10) Consider a call option with a strike price of $50 and premium of $6. At what underlying asset price does the long call position breakeven? 11) Consider a portfolio consisting of five long forwards with forward price of $40 and twelve long! calls with strike price of $22 and...
Assume the Black-Scholes framework for options pricing. You are a portfolio manager and already have a...
Assume the Black-Scholes framework for options pricing. You are a portfolio manager and already have a long position in Apple (ticker: AAPL). You want to protect your long position against losses and decide to buy a European put option on AAPL with a strike price of $180.15 and an expiration date of 1-year from today. The continuously compounded risk free interest rate is 8% and the stock pays no dividends. The current stock price for AAPL is $200 and its...
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...
Assume the following premia: Strike $950 Call $120.405 93.809 84.470 71.802 51.873 Put $51.777 74.201 1000...
Assume the following premia: Strike $950 Call $120.405 93.809 84.470 71.802 51.873 Put $51.777 74.201 1000 1020 84.470 101.214 1050 1107 137.167 I 1) Suppose you invest in the S&P stock index for $1000, buy a 950-strike put, and sell a 1050- strike call. Draw a profit diagram for this position. What is the net option premium? 2) Here is a quote from an investment website about an investment strategy using options: One strategy investors apply is a "synthetic stock."...
Payoffs of strategies. Draw the payoffs for these strategies. All derivatives are on the same stock....
Payoffs of strategies. Draw the payoffs for these strategies. All derivatives are on the same stock. 1) Long 1 Stock + Short 1 Call Option 2) Long 1 Stock + Long 1 Put Option 3) Long 1 Call Option with strike 2, Short 1 Call Option with strike 3 4) Short 1 Put Option with strike 2, Long 1 Put Option with strike 3 5) Long 1 Call Option with strike 1, Short 1 Call Option with strike 2, Long...
4. A speculator has a portfolio which is short in a European call with strike K1...
4. A speculator has a portfolio which is short in a European call with strike K1 and long in a European call with strike K2 . These two calls have the same maturity and underlying asset, but K1 > K2. Say the asset has value S(T) at maturity. This portfolio is called a bull spread. (a) Write an equation to describe the payoff at maturity of the bull spread. (b) For each of the three cases S(T) < K2 <...
show all work and graph Southwest Airlines Options ( January 2020 expiration) Stock price $57.38 Calls...
show all work and graph
Southwest Airlines Options ( January 2020 expiration) Stock price $57.38 Calls Puts Strike $50 $55 $60 $70 Bid 0.20 1.30 Ask 0.45 Bid 7.70 3.70 1.10 0.04 Ask 7.90 3.80 1.25 0.10 1.45 4.30 18.60 4.10 17.20 1. (11 points) Back to the Southwest data from Exam 2. Suppose you write a put with a strike price of 55 and write a call with a strike price of 55 (use the bid quotes). Graph the...
please type your answer
4. Consider a portfolio consisting of 6 stocks and 10 put options on the stocks. The current stock price is So = 100 and the stike price of the options is X = 100. The stock price can take on only two values at maturity T given by Su = 120 and Sd = 90. The risk-free rate is given by 5%. (a) What is the payoff at maturity of the portfolio? (b) Calculate the "Delta"...
Home Task - Chapter 11. Long and Short Options Questions 1. Which is more profitable: to sell (sell-to-close) or exercise a long option before expiration? 2. Would a long option, which expired "in-the-money" be automatically exercised? 3. What is the highest potential gain/loss for a long call? 4. What is the highest potential gain/loss for a long put? 5. What is the difference between a naked call and a short call? 6. What is the difference between writing an option...
Problem 3: Draw a profit diagram for each of the following combined option positions. Combination 1: 4 Short 1 call with an exercise price of $50 with a call price of $2, and Long 1 call with an exercise price of $55 with a call price of $1. A Combination 2: 소 소소 Long 1 call with an exercise price of $50 with a call price of $2, and Long 1 put with an exercise price of $50 with a...
It PusUNUI Cakcyl pom . 9) Consider the following example: SP = $75, UA = $95, and c 0 = $18. In this case, what is the long call's P&L? 10) Consider a call option with a strike price of $50 and premium of $6. At what underlying asset price does the long call position breakeven? 11) Consider a portfolio consisting of five long forwards with forward price of $40 and twelve long! calls with strike price of $22 and...
Assume the Black-Scholes framework for options pricing. You are a portfolio manager and already have a long position in Apple (ticker: AAPL). You want to protect your long position against losses and decide to buy a European put option on AAPL with a strike price of $180.15 and an expiration date of 1-year from today. The continuously compounded risk free interest rate is 8% and the stock pays no dividends. The current stock price for AAPL is $200 and its...
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...
Assume the following premia: Strike $950 Call $120.405 93.809 84.470 71.802 51.873 Put $51.777 74.201 1000 1020 84.470 101.214 1050 1107 137.167 I 1) Suppose you invest in the S&P stock index for $1000, buy a 950-strike put, and sell a 1050- strike call. Draw a profit diagram for this position. What is the net option premium? 2) Here is a quote from an investment website about an investment strategy using options: One strategy investors apply is a "synthetic stock."...
show all work and graph
Southwest Airlines Options ( January 2020 expiration) Stock price $57.38 Calls Puts Strike $50 $55 $60 $70 Bid 0.20 1.30 Ask 0.45 Bid 7.70 3.70 1.10 0.04 Ask 7.90 3.80 1.25 0.10 1.45 4.30 18.60 4.10 17.20 1. (11 points) Back to the Southwest data from Exam 2. Suppose you write a put with a strike price of 55 and write a call with a strike price of 55 (use the bid quotes). Graph the...
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