Homework Answers
| Call Option | Put Option | |
| Forward price | 47,500 PLN | 47,500 PLN |
| Exercise price | 47,650 PLN | 47,650 PLN |
| Action | Lapse | Exercise |
| Profit | Nil | 150 PLN |
| Premium | 0,0500 | 0,1550 |
| Net loss | 500 PLN | 1400 PLN |
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Exercise 1 There are the following quotations: Spot EUR/PLN 4,7200 Forward EUR/PLN 4,7500 Call EUR option...
You can: - write an option 1: call option with an exercise price of PLN 100...
You can: - write an option 1: call option with an exercise price of PLN 100 and premium of PLN 5 - purchase an option 2: call option with an exercise price of PLN 140 and premium of PLN 5 - purchase an option 3: put option with an exercise price of PLN 100 and premium of PLN 3 Is an arbitrage possible? If yes, which options should be purchased in order to realize an arbitrage strategy?
The present exchange rate is 4,55 PLN per EUR. You expect the Polish zloty will trade...
The present exchange rate is 4,55 PLN per EUR. You expect the Polish zloty will trade spot at 4,45 in three months. You have 1.000 PLN and you can buy either a put or a call (euro option) at 4,60 PLN for PLN 0,02/EUR. What will you do and what will be your profit if you are correct?
BF2207 Question 2 Suppose that, six months ago, you sold a call option on 1,000,000 euros...
BF2207 Question 2 Suppose that, six months ago, you sold a call option on 1,000,000 euros (EUR) with an expiration date of six months and an exercise price of 1.1780 United States dollars (USD). You received a premium on the call option of 0.045 USD per unit. Assume the following: • Money market interest rates for EUR are constant through time and equal 5% for all maturities. • Money market interest rates for USD are constant through time and equal...
can someone explain to me why this is a call? And why I wouldn’t buy a...
can
someone explain to me why this is a call? And why I wouldn’t buy a
put?
Option exercise Paulo is a currency speculator for Allianz (Germany). His latest speculative position is to profit from his expectations that the US Dollar will fall significantly against the Euro. The current spot rate is USD 1.09663/EUR. He must choose between the following 90-day options on the Euro: OPTION STRIKE PRICE PREMIUM Put USD 1.1250/EUR USD 0.00005/EUR Call USD 1.1250/EUR USD 0.00062/EUR Should...
Spot FX rate is 0.3500 USD/PLN. You can enter a 2-year forward contract with an exercise...
Spot FX rate is 0.3500 USD/PLN. You can enter a 2-year forward contract with an exercise price of 4.0000 PLN/USD. market and 10% for USA market, what is the theoretical price of this contract? Is arbitrage possible-if yes, explain why? If arbitrage is possible, what strategy should investor choose in order to get a riskless profit? The rates are fixed in the whole investment period and equal 5% p.a. for Polish
Spot FX rate is 3.600 PLN/USD. You can enter a 3-year forward contract with an exercise...
Spot FX rate is 3.600 PLN/USD. You can enter a 3-year forward contract with an exercise price of 4.0000 PLN/USD. The rates are fixed in the whole investment period and equal 10% pa. for Polish market and 5% for USA market, what is the theoretical price of this contract? Is arbitrage possible-if yes, explain why? If arbitrage is possible, what strategy should investor choose in order to get a riskless profit?
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."...
Suppose you construct the following European option trades on Apple stock: write a put option with exercise price $32 and premium $2.86, and write a call option with exercise price $32 and premium $3....
Suppose you construct the following European option trades on Apple stock: write a put option with exercise price $32 and premium $2.86, and write a call option with exercise price $32 and premium $3.51. What is your maximum dollar net profit, per share?
• Long cury strangle Call option premium - 50.03., Put option premium - $0.02 € Call...
• Long cury strangle Call option premium - 50.03., Put option premium - $0.02 € Call option strike price 1.25/6, Put option strike price $1.15 € Option contract size - €62,500 Draw graphs of call option, put option, and straddle Mark BE point and Strike prices Mark each premium 1 S105 S 15E $1.20 € $1.25 € $1.30/E Long call option Spot exchange rate Exercise (NY) Holder's net profit per unit Exercise (NY Holder's net profit per unit Net profit...
Consider a European call option on €62,500 with an exercise price of $1.50/€. You pay an...
Consider a European call option on €62,500 with an exercise price of $1.50/€. You pay an option premium of $0.10/€ for the call option today. a. If the $-€ spot exchange rate is $1.62/€ on the contract expiration date, would you exercise the call option (buy € at the exercise price at expiration)? What would be the option payoff and profit? b. If the $-€ spot exchange rate is $1.45/€ on the contract expiration date, would you exercise the call...
The present exchange rate is 4,55 PLN per EUR. You expect the Polish zloty will trade spot at 4,45 in three months. You have 1.000 PLN and you can buy either a put or a call (euro option) at 4,60 PLN for PLN 0,02/EUR. What will you do and what will be your profit if you are correct?
BF2207 Question 2 Suppose that, six months ago, you sold a call option on 1,000,000 euros (EUR) with an expiration date of six months and an exercise price of 1.1780 United States dollars (USD). You received a premium on the call option of 0.045 USD per unit. Assume the following: • Money market interest rates for EUR are constant through time and equal 5% for all maturities. • Money market interest rates for USD are constant through time and equal...
can
someone explain to me why this is a call? And why I wouldn’t buy a
put?
Option exercise Paulo is a currency speculator for Allianz (Germany). His latest speculative position is to profit from his expectations that the US Dollar will fall significantly against the Euro. The current spot rate is USD 1.09663/EUR. He must choose between the following 90-day options on the Euro: OPTION STRIKE PRICE PREMIUM Put USD 1.1250/EUR USD 0.00005/EUR Call USD 1.1250/EUR USD 0.00062/EUR Should...
Spot FX rate is 0.3500 USD/PLN. You can enter a 2-year forward contract with an exercise price of 4.0000 PLN/USD. market and 10% for USA market, what is the theoretical price of this contract? Is arbitrage possible-if yes, explain why? If arbitrage is possible, what strategy should investor choose in order to get a riskless profit? The rates are fixed in the whole investment period and equal 5% p.a. for Polish
Spot FX rate is 3.600 PLN/USD. You can enter a 3-year forward contract with an exercise price of 4.0000 PLN/USD. The rates are fixed in the whole investment period and equal 10% pa. for Polish market and 5% for USA market, what is the theoretical price of this contract? Is arbitrage possible-if yes, explain why? If arbitrage is possible, what strategy should investor choose in order to get a riskless profit?
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."...
• Long cury strangle Call option premium - 50.03., Put option premium - $0.02 € Call option strike price 1.25/6, Put option strike price $1.15 € Option contract size - €62,500 Draw graphs of call option, put option, and straddle Mark BE point and Strike prices Mark each premium 1 S105 S 15E $1.20 € $1.25 € $1.30/E Long call option Spot exchange rate Exercise (NY) Holder's net profit per unit Exercise (NY Holder's net profit per unit Net profit...
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