Assume rf = 0 for all questions below. Underling at 100. Annual stdev of $20. 3 months left for the option. What is the...
Assume rf = 0 for all questions below. Underling at 100. Annual stdev of $20. 3 months left for the option.
What is the gamma value of a 90-110 call debit spread (long 90 call and short 110 call)?
Homework Answers
Gamma of a call option or a put option is given by the formula:
Please see the attached snapshot from my model.
Gamma of 90 call
Gamma of 110 Call
Hence, the gamma value of a 90-110 call debit spread (long 90 call and short 110 call) = Gamma of 90 call - Gamma of 110 call = 0.0217 - 0.0265 = - 0.0048
Add Answer to:
Assume rf = 0 for all questions below. Underling at 100. Annual stdev of $20. 3 months left for the option. What is the...
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...
Problem1 A stock is currently trading at S $40, during next 6 months stock price will increase to $44 or decrease to $32-6-month risk-free rate is rf-2%. a. [4pts) What positions in stock and T-...
Problem1 A stock is currently trading at S $40, during next 6 months stock price will increase to $44 or decrease to $32-6-month risk-free rate is rf-2%. a. [4pts) What positions in stock and T-bills will you put to replicate the pay off of a European call option with K = $38 and maturing in 6 months. b. 1pt What is the value of this European call option? Problem 2 Suppose that stock price will increase 5% and decrease 5%...
Based on the following information for a call option on a stock, S-$90 X=$80 RF=.05 T-3...
Based on the following information for a call option on a stock, S-$90 X=$80 RF=.05 T-3 months 6 20 What is the call premium based on the Black/Scholes model? Select one: a. $11,37 b. $10.12 c. $13.11 d. $12.54 e. $9.34
Q4. Option Greeks of a call back ratio under NORMAL DISTRIBUTION Underlying is at $200 Rt...
Q4. Option Greeks of a call back ratio under NORMAL DISTRIBUTION Underlying is at $200 Rt 0. Annual standard deviation of $80.3 mont You want to construct a CALL back ratio spread Long 2 CALLS at Q4a What is the delta ol the position? (2 points) 220 strike, and short 1 CALL at 200 strike. 04b. What is the gamma value of the spread (2 points) Q4c What is the one day theta value of the spread (2 points) oad...
Refers to the information below: S&R index level today (t=0) 900 Forward price (T=3 months) 918...
Refers to the information below: S&R index level today (t=0) 900 Forward price (T=3 months) 918 Annualized 3-month interest rate 8% p.a. Call option Premium (Strike = 900) 62.57 Put option Premium (Strike = 900) 44.92 Dividend Yield 0% S&R index level 3 months later 930 (i) What is your profit 3 months later if you have taken a long position on the stock at t=0? (ii) What is your profit 3 months later if you have taken a short...
Question 13 (1 point) Suppose SO = 100 and stock tree is below, rf=0, p=0.45 t=0...
Question 13 (1 point) Suppose SO = 100 and stock tree is below, rf=0, p=0.45 t=0 t=1 t=2 110.25 105.0 100.0 100.0 95.3 90.7 b) Compute payoffs for a call (with $105 strike, expires t=2) if S-100 at t-2? 0 1 0-5 Question 14 (1 point) Suppose SO = 100 and stock tree is below, rf=0 (risk free rate), p=0.45 (risk-neutral probability). Call option with strike 105. t=0 t=1 t=2 110.25 105.0 100.0 95.3 90.7 100.0 c) Compute C_u (call...
You Just a TD stock at $100 and a put option on the TD stock at $5....
You Just a TD stock at $100 and a put option on the TD stock at $5. The put has exercise price of $108 and expiration date is 6 months from now. Assume that the spot price of the TD stock on expiration date turned to as follows (consider each case separately): Spot price at expiration $85 $90 $95 $100 $105 $110 $115 $120 $125 $130 i. What will be value of put option expiration date under each scenario. ii. What...
The diagram below represents the payoff of a European call option on the stock with a...
The diagram below represents the payoff of a European call option on the stock with a strike price (K)= $100, initial cost (option premium) =$10, and option life of 6 months. The market price of the underlying stock reaches ($115) at the maturity date of the option, explains in detail whether the holder of this option will exercise his option and achieve profit knowing that the profit is the final payoff minus the initial cost? 30 20 10 0 -10...
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...
A combination of Long 1 Put at K1, Short 2 Puts at K2, Short 100 shares...
A combination of Long 1 Put at K1, Short 2 Puts at K2, Short 100 shares of Stock at K2 and Long 1 Call at K(3) is an example of: O A Strangle O B Straddle C Bull Spread O D Butterfly Given: S(0) 50; r 0.05; T 6 months; K49. What is a lower bound for an American Call Option on non-dividend paying stock? O A C<or 50 O B Cor 2.21 c c>or=1
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...
Problem1 A stock is currently trading at S $40, during next 6 months stock price will increase to $44 or decrease to $32-6-month risk-free rate is rf-2%. a. [4pts) What positions in stock and T-bills will you put to replicate the pay off of a European call option with K = $38 and maturing in 6 months. b. 1pt What is the value of this European call option? Problem 2 Suppose that stock price will increase 5% and decrease 5%...
Based on the following information for a call option on a stock, S-$90 X=$80 RF=.05 T-3 months 6 20 What is the call premium based on the Black/Scholes model? Select one: a. $11,37 b. $10.12 c. $13.11 d. $12.54 e. $9.34
Q4. Option Greeks of a call back ratio under NORMAL DISTRIBUTION Underlying is at $200 Rt 0. Annual standard deviation of $80.3 mont You want to construct a CALL back ratio spread Long 2 CALLS at Q4a What is the delta ol the position? (2 points) 220 strike, and short 1 CALL at 200 strike. 04b. What is the gamma value of the spread (2 points) Q4c What is the one day theta value of the spread (2 points) oad...
Question 13 (1 point) Suppose SO = 100 and stock tree is below, rf=0, p=0.45 t=0 t=1 t=2 110.25 105.0 100.0 100.0 95.3 90.7 b) Compute payoffs for a call (with $105 strike, expires t=2) if S-100 at t-2? 0 1 0-5 Question 14 (1 point) Suppose SO = 100 and stock tree is below, rf=0 (risk free rate), p=0.45 (risk-neutral probability). Call option with strike 105. t=0 t=1 t=2 110.25 105.0 100.0 95.3 90.7 100.0 c) Compute C_u (call...
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...
A combination of Long 1 Put at K1, Short 2 Puts at K2, Short 100 shares of Stock at K2 and Long 1 Call at K(3) is an example of: O A Strangle O B Straddle C Bull Spread O D Butterfly Given: S(0) 50; r 0.05; T 6 months; K49. What is a lower bound for an American Call Option on non-dividend paying stock? O A C<or 50 O B Cor 2.21 c c>or=1
Most questions answered within 3 hours.
-
Computer Programming II CS141(Java)
Mention the appropriate relationship between following
classes:
HOD–StaffMember
Car–Ferrari
Student-Address
BankAccount–FixedAccount
House-Building...
asked 33 minutes ago -
Assume one of your finals has 50 questions on it, and
lucky for you, it's all...
asked 1 hour ago -
Rice Products in Bangladesh
Business behavior is derived in large part from the basic cultural
environment...
asked 3 hours ago -
The following base sequence is found for a mRNA fragment from
wild-type E. coli: 5'- UAUCAGUAGAUAAUGUAACC-3'...
asked 3 hours ago -
For this exercise, round all regression parameters to three
decimal places.
One of the two tables...
asked 3 hours ago -
What is the 5% level of significance for mean = 3.60, standard
deviation = 0.94, and...
asked 3 hours ago -
Prior to beginning work on this discussion, please read the
article by Hayley Peterson, 15 Companies...
asked 4 hours ago -
Which pair of aqueous solutions, when mixed, will form a
precipitate?
A) NaNO3 and AgC2H3O2
B)...
asked 4 hours ago -
1-Write an algorithm to get two numbers from the user (as
inputs) and calculate the sum...
asked 8 hours ago -
Define white-collar crime. What is the difference between
offender and offense-based definitions of white-collar crime? What...
asked 8 hours ago -
Consider a reaction which is 1st order with respect to A and 1st
order with respect...
asked 8 hours ago -
c++
The length of the hypotenuse of a right-angled triangle is the
square root of the...
asked 9 hours ago