Question 11"Consider the following 4 options on TSLA: (1) 1-year 30-delta call, (2) 1-year 30-delta put, (3) 2-year 70-delta put, (4) 2-year 70-delta call. (a) Which of the 4 option's strike price is the closest the strike price of a 1-year 70-delta call?to neutralize the delta exposure of each option contract separately with TSLA stock, which of the 4 option contracts needs the most long stock position to neutralize its delta?(d) What's the total delta of the portfolio that includes 1 million shares long position in each of the 4 option contracts(b) If we are long 1 million shares on each of the options and wantand (c) which of the 4 option contracts needs the most short stock position to neutralize its delta?(Answer the questions using a clean integer number with no decimal, no dots, no parentheses)"

Delta represents a measure for analyzing risk and is primarily used by traders. It shows the change…

Answered: "Consider the following 4 options on…

Fundamentals of Financial Management (MindTap Course List)

14th Edition

ISBN:9781285867977

Author:Eugene F. Brigham, Joel F. Houston

Publisher:Eugene F. Brigham, Joel F. Houston

Chapter18: Derivatives And Risk Management

Section18.A: Valuation Of Put Options

Problem 1P

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Question 13 An investor owns a put option with a strike price of $ 20, the premium paid was $ 2. The stock price on the option expiration date is $ 25, which is the below statements is correct? A ) The loss on the option is$7 B The option should be allowed to lapse C The intrinsic value of the option is - $2 D The profit on the option is $ 3
Question 7 A. What is the basic difference between a forward contract and a futures contract? How important is this difference in determining the contract prices? B. Is the “forward price” the same thing as the “value of the forward contract” Explain. C. A forward contract exists for a unit of two-year government securities with delivery to take place three years from now. Suppose the price of these securities three years from now is uniformly distributed from a low $800 to a high of $1,400. The one-year expected riskless rate of interest is 5 percent for all periods under consideration. (i). If investors are risk neutral, what should be the current forward price? (ii). Suppose now that investors are risk averse and that the forward price is $1,200. What do you know about the relationship between the market value of two-year government securities and overall consumption? (iii). Continue to assume (as in (ii)) that the current forward price (at time 0) is $1,200. One year from now (at…
2) You enter into a ‘Call’ Option contract with a strike price of $20. This contract will expire in 31st of March 2021. On 31st of March, you realise that the underlying share price is $28 . a. Will you exercise this contract? Why or why not? b. Is this contract ‘In-the-Money’ or ‘Out-Of-the-Money’?
26. Suppose an investor buy a European call option at price c, K is the strike price and ST is the spot price of the asset at maturity of the contract, when ( ),the investor will exercise the option.
which one is corect please confirm? Q8: An option that gives the owner the right to sell a financial instrument at the exercise price within a specified period of time is a put option call option swap premium
Question 5 of 30: An investor wrote a naked call option. The premium was Rs. 2.50 per share and the market price and the exercise price of the same are Rs. 37 and Rs. 41 respectively is the amount that is required to be deposited with the clearing house (the contract is for 100 shraes) Rs. 590 O Rs 620 ORs. 680
[S1] A put option gives the holder theright to sell a stock or other financialsecurities at a specified price at sometime in the future. [S2] A holder shouldexercise the call option if the marketprice on the expiry date is more thanthe contract price. A. Both are trueB. Both are falseC. S1 is trueD. S2 is true
Assume that K=61, St =65, t = 0.25 (i.e. time to expiry is 3 months), and the risk-free rate is 0.04. The current price of the put option is p = 4. What would the price of the call option ‘c’ need to be for put-call parity to hold?
7. Assume that a call option has an exercise price of $1.70/£. At a spot price of $1.62/£, the call option has a. a time value of $0.08. b. a time value of $0.00. c. an intrinsic value of $0.00. d. an intrinsic value of -$0.08.
Question 4 Consider the following: your purchased a put option on JPM two months ago, with a strike price for the option of $138, and the option expires today. Show work for all parts requiring computation. Suppose the stock price is $152. What is the exercise value? In general, how is the value of a put option affected by time (+/-/None), underlying asset volatility (+/-/None), and the current asset price (+/-/None)?
1. If the contract at inception is $20 for a future expiring in 1 year and the current contract is 22 what is the inplied future value with rf rate of 5%? answers: A) 1.95 B) 2 C) 1.87 D) none of above 2. you have an option that pays 1 if the stock price = or above 10 and 0. If the cureent stock price is 7 and movements are to 14 and 3.5 what is the value of this option assuming expiry in 1 year and interest rate of 5% answers: A) .349 B) .356 C) .362 D) none of the above
Assume that the price of a forward contract is 127.87. The European options on the forward contract has an exercise price $150, expiring in 60 days. 3.75% is the continuously compounded risk-free rate, and volatility is 0.33.A. Using the Black model, calculate the price of a call option on a forward contract.B. Calculate the underlying asset's price. Using the Black-Scholes-Merton model, determine the price of a call option on the underlying asset. Should this pricing be any different from the one calculated in letter A? Explain your answer.C. Using the Black model, calculate the price of a put option on a forward contract.D. Using the Black-Scholes-Merton model, compute the price of a put option on the underlying asset. Should this pricing be any different from the one calculated in letter C? Explain your answer.

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