Based on the table, compute the 1. value of the call option 2. value of the put option. Contract size (in number of shares) Current market value of an ABC Inc. share Exercise price for an ABC Inc. share Time to expiration in days Volatility Risk-free rate Days in a year 10,000 78.25 76.50 90.00 36% 6% 360
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- Topic: Option Pricing When computing, please do not round off. Only final answers must be rounded off to two decimal places 1. ABC Corporation acquired a put option for 100 pieces of P50,000-face value bonds. The strike price is 105.75. If as of the valuation date, the market value of the bonds is 106.35, what is the position of the option? **For the answer, type in the following format: ex. IN300 for in the money by P300; OUT2000 for out the money by P2,000.Topic: Option Pricing When computing, please do not round off. Only final answers must be rounded off to two decimal places 1. ABC Milling Corporation acquired three call options for wheat. The option has 10 tons of wheat as the underlying asset and P12,100 per ton as strike price. If on the exercise date, the market value of a ton of wheat is P12,250, what is the total value of the option contracts acquired by ABC?Basic Option Strategies Profit Computation Assume the below prices for calls and puts: Call Call Call Put Put Put Strike Jul Aug Oct Jul Aug Oct 165 2.7 5.25 8.1 2.4 4.75 6.75 170 0.8 3.25 6 5.75 7.5 9 Buy one August 170 put contract. Hold it until expiration. Identify the breakeven stock price at expiration. What is the profit/loss if ST=190? Buy one October 165 call contract. Hold it until the options expire. Identify the breakeven stock price at expiration. What is the Maximum possible loss from the transaction? What is the profit/loss if ST=185 Buy 100 shares of stocks and buy one August 165 put contract. Hold the position until expiration. Determine the breakeven stock price at expiration, the maximum profit and the maximum loss. What is the profit/loss if ST=150. Buy 100 shares of stock and write one October 170 call contract. Hold the position until expiration. Determine the breakeven stock price at expiration, the…
- This assignment repeats the work done in class using a company named Nodiv. The current share price of Nodiv stock is $50, and it pays no dividends. Thus, the 1-year forward price is 553.00, assuming the risk-free interest rate is 6%.1. Write the payoff in the table from a long futures position where you are obligated to buy at the contract price. Write the payoff in the table from a short futures position where you are obligated to sell at the contract price. Draw the payoff diagram for each position.Basic Option Strategies Profit Computation Assume the below prices for calls and puts: Call Put Strike Jul Aug Oct Jul Aug Oct 165 2.7 5.25 8.1 2.4 4.75 6.75 170 0.8 3.25 6 5.75 7.5 9 Buy one August 170 put contract. Hold it until expiration. Identify the breakeven stock price at expiration. What is the profit/loss if ST=190? Buy one October 165 call contract. Hold it until the options expire. Identify the breakeven stock price at expiration. What is the Maximum possible loss from the transaction? What is the profit/loss if ST=185 Buy 100 shares of stocks and buy one August 165 put contract. Hold the position until expiration. Determine the breakeven stock price at expiration, the maximum profit and the maximum loss. What is the profit/loss if ST=150. Buy 100 shares of stock and write one October 170 call contract. Hold the position until expiration. Determine the breakeven stock price at expiration, the maximum profit…Basic Option Strategies Profit Computation Assume the below prices for calls and puts: Call Put Strike Jul Aug Oct Jul Aug Oct 165 2.7 5.25 8.1 2.4 4.75 6.75 170 0.8 3.25 6 5.75 7.5 9 Buy one August 170 put contract. Hold it until expiration. Identify the breakeven stock price at expiration. What is the profit/loss if ST=190? Buy one October 165 call contract. Hold it until the options expire. Identify the breakeven stock price at expiration. What is the Maximum possible loss from the transaction? What is the profit/loss if ST=185 Buy 100 shares of stocks and buy one August 165 put contract. Hold the position until expiration. Determine the breakeven stock price at expiration, the maximum profit and the maximum loss. What is the profit/loss if ST=150. Buy 100 shares of stock and write one October 170 call contract. Hold the position until expiration. Determine the breakeven stock price at expiration, the maximum profit…
- Topic: Option Pricing When computing, please do not round off. Only final answers must be rounded off to two decimal places 1. The Finance Department of ABC Corporation will have P1,500,000 in excess cash by the end of the month. It will be investing the excess cash in shares by the end of the month. The department wants to already reserve X Corp. shares as the investment. A standardized option has a contract size of 1,000 X Corp. shares and a strike price of P480 per share. Assuming that the Finance Department has acquired options that is within their budget and that the current market value of an X Corp. share is P500. The option contracts would have a total value of how much as of the exercise date?Not Excel! Turn back to Figure 20.1 , which lists prices of various IBM options. Use the data in the figure tocalculate the payoff and the profits for investments in each of the following January expirationoptions, assuming that the stock price on the expiration date is $125.a. Call option, X 5 $120.b. Put option, X 5 $120.c. Call option, X 5 $125.d. Put option, X 5 $125.e. Call option, X 5 $130.f. Put option, X 5 $130. Not Excel!For each of the 100-share options shown in the following table below; use the underlying stock price at expiration and other information to determine the amount of profit or loss an investor would have had. Option Type of option Cost of option Strike price per share Underlying stock price per share at expiration A Call $214 $48 $53 B Call $372 $45 $48 C Put $537 $63 $54 D Put $297 $32 $36 E Call $495 $27 $24 The profit (loss) experienced on option A is $ ? (Round to the nearest dollar. Enter a negative number for loss.)
- You would like to be holding a protective put position on the stock of XYZ Company to lock in a guaranteed minimum value of $240 at year-end. XYZ currently sells for $240. Over the next year, the stock price will either increase by 7% or decrease by 7%. The T-bill rate is 3%. Unfortunately, no put options are traded on XYZ Company. Required: a. How much would it cost to purchase if the desired put option were traded? (Do not round intermediate calculations. Round your answer to 2 decimal places.) b. What would be the cost of the protective put portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.)You would like to be holding a protective put position on the stock of XYZ Company to lock in a guaranteed minimum value of $105 at year-end. XYZ currently sells for $105. Over the next year, the stock price will increase by 9% or decrease by 9%. The T-bill rate is 7%. Unfortunately, no put options are traded on XYZ Company. Required: Suppose the desired put option were traded. How much would it cost to purchase? What would have been the cost of the protective put portfolio? What portfolio position in stock and T-bills will ensure you a payoff equal to the payoff that would be provided by a protective put with X = 105? Show that the payoff to this portfolio and the cost of establishing the portfolio match those of the desired protective put.Topic: Option Pricing When computing, please do not round off. Only final answers must be rounded off to two decimal places Based on the Black-Scholes model, the price of a put option should be P2,800. If the underlying asset has a strike price of P60,000 and a market price of P58,500, how much is the extrinsic value of the option?
