Here number of days = 188 days
strike X = 9
spot S = 5.03
Risk-free rate = 2.31
δ=N(d1)
After calculation,
we found delta of the call to be = 0.159 of call
Beta of stock = 0.86
Beta of call = (S/X) *Δ *β = ( 5.03 /9)*0.159*0.86 = 0.075
K | Option strike price |
N | A standard normal cumulative distribution function |
r | Risk-free interest rate |
σ | The volatility of the underlying |
S | Price of the underlying |
t | Time to option's expiry |
Options leverage ratio : ( delta of call * stock price - option price ) / option price , option price = 0.15 ; so
Options leverage is 4.332
Calculate the beta of the January 2010 $9 call option (maturing on January 15, 2010) on...
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