Jan 18 2022, SPY (the ETF) closed at 456.02. The short-term interest rate is 0.25%. Assume no dividend payments before the February 18 expiration. The minimum value of the February 2022, K = 454, Call option, on Jan 18 2022 was 2.02 larger than 2.02 smaller than 2.02, b
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On Jan 18 2022, SPY (the ETF) closed at 456.02. The short-term interest rate is 0.25%. Assume no dividend payments before the February 18 expiration. The minimum value of the February 2022, K = 454, Call option, on Jan 18 2022 was
- 2.02
- larger than 2.02
- smaller than 2.02, but not zero
- zero
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- The current price of a stock paying no income is 30. Assume the annually compounded zero rate will be 3% for the next 2 years. (a) Find the current value of a forward contract on the stock if the delivery price is 25 and maturity is in 2 years. (b) If the stock has price 35 at maturity, find the value of the forward from part (a) to the long counterparty at maturitySuppose that you enter into a 6-month forward contract at a price of $100 on a non-dividend paying stock currently trading at $99. Assuming that the above forward price is the no-arbitrage price of the contract, which of the below is closest to the level of the annual interest rate (using discrete compounding)? Question 3Answer a. 4.1 % b. 1.0 % c. 3.1 % d. 2.0 %Suppose that, on 5 November 2020, you opened a short position in a two-year futures contract on the Tesla stock. The share price at the beginning of the contract was $146, and the initial futures price was equal to a theoretical two-year forward price. Assume the following: initial margin of 40% of the futures value, maintenance margin of 32% of the futures value, 3% flat interest rate, continuous compounding, no withdrawals of the excess margin. Next, suppose that, on 1 November 2022, the Tesla stock is priced at $228 per share, and it goes down by 1% daily over 2nd, 3rd and 4th November. Suppose further that, on 1 November 2022, you have received a margin call from your broker (this was your first margin call during this contract) and had to make an instant adjustment to your margin account. Your position in this contract is closed on 4 November 2022. How can you assess your overall profit or loss? Would your overall profit/loss from 1) change if, on 5 November 2020, you had…
- Suppose that, on 5 November 2020, you opened a short position in a two-year futures contract on the Tesla stock. The share price at the beginning of the contract was $146, and the initial futures price was equal to a theoretical two-year forward price. Assume the following: initial margin of 40% of the futures value, maintenance margin of 32% of the futures value, 3% flat interest rate, continuous compounding, no withdrawals of the excess margin. Next, suppose that, on 1 November 2022, the Tesla stock is priced at $228 per share, and it goes down by 1% daily over 2nd, 3rd and 4th November. Suppose further that, on 1 November 2022, you have received a margin call from your broker (this was your first margin call during this contract) and had to make an instant adjustment to your margin account. Calculate the value of your position in this contract at a close of each day between 1-4 November 2022. Show and explain each step of your derivations.Suppose that, on 5 November 2020, you opened a short position in a two-year futures contract on the Tesla stock. The share price at the beginning of the contract was $146, and the initial futures price was equal to a theoretical two-year forward price. Assume the following: initial margin of 40% of the futures value, maintenance margin of 32% of the futures value, 3% flat interest rate, continuous compounding, no withdrawals of the excess margin. Next, suppose that, on 1 November 2022, the Tesla stock is priced at $228 per share, and it goes down by 1% daily over 2nd, 3rd and 4th November. Suppose further that, on 1 November 2022, you have received a margin call from your broker (this was your first margin call during this contract) and had to make an instant adjustment to your margin account. Show how the balance on your margin account was changing over this period (i.e., 1-4 November 2022).TSLA stock price is currently at $600. The $700-strike European TSLA call option expiring on March 2021 has a delta of 0.43, N(d2) of the option is 0.28. Assume zero interest rate and no dividend. Compute the Black-Merton-Scholes delta (in decimals with correct signs) of the TSLA European put option at the same strike and expiry. (round to 0.01)
- The April 2007 expiration put option on AELZ with an exercise price of K95 selling on March 2, 2007 for K4.90 . If AELZ sells at K9090 , what will be the net proceeds? If AELZ sells for K88 at expiration, what will be the value of the option at expiration, and how much profit would the investor make?MHF believes the price of Amazon is going to fall substantially over the next 8 months. MHF uses an option (use the January 2024 contract with an exercise price of $95) to hedge the risk as it owns 10 million shares of Amazon. It will hedge exactly 50% of its position. Identify the type of option most likely used. Show the total position (please put this in a table) of the spot and derivative at expiration if the price of Amazon at expiration is a) $62; b) $77; c) $93; d) $112; e) $128. Only typed answerA put option and a call option written on the same stock will expire in three months. They both have an exercise price of $45. And they sell for $2.65 and $5.23, respectively. If the underlying stock is currently selling at $47.30, what is the effective annual interest rate? Assume that both options are European options, and that compounding is not continuous.
- The April 2007 expiration put option on AELZ with an exercise price of K95 selling on March 2, 2007 for K4.90 . If AELZ sells at K9090 , what will be the net proceed? If AELZ sells for K88 at expiration, what will be the value of the option at expiration, and how much profit would the investor make?IBM’s January expiration call with exercise price $130 and time to expiration of 44 days costs $2.18 while the corresponding put option costs $4.79. IBM was selling for $127.21, and the annualized short-term interest rate on this date was .2%. No dividends will be paid between the date of the listing, December 2, and the option expiration date. Apply the put-call parity condition to check if there is an arbitrage opportunity.A 3-month European put option on a non-dividend-paying stock is currently selling for $3.80. The stock price is $48.0, the strike price is $51, and the risk-free interest rate is 6% per annum (continuous compounding). There is no arbitrage opportunity in this scenario. Is this true?