On January 1 2021 you buy shares of an s&p index ETF at $370 each. You are concerned about the possible drop in value of the large cap equities before year end. The S&P 500 currently is at $4,669. You decide to buy an at-the – money put option on the s&p 500 index to insulate your portfolio from a decline in equity prices. Each put ( assume one put per ETF share)is prived at $56 and expires on 31 december. If the s&p is at $4680 on 31 december an dyour ETF position is priced at $468, what is the annualized percent return on entire investment in the ETF, including the put

On January 1 2021 you buy shares of an s&p index ETF at $370 each. You are concerned about the possible drop in value of the large cap equities before year end. The S&P 500 currently is at $4,669. You decide to buy an at-the – money put option on the s&p 500 index to insulate your portfolio from a decline in equity prices. Each put ( assume one put per ETF share)is prived at $56 and expires on 31 december. If the s&p is at $4680 on 31 december an dyour ETF position is priced at $468, what is the annualized percent return on entire investment in the ETF, including the put

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter20: Financing With Derivatives

Section: Chapter Questions

Problem 2P

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