Q17: "If you buy a put option on treasury futures at 110, and at expiration the market price is 115," the call will be exercised the put will be exercised the call will not be exercised. the put will not be exercised
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which one is correct please confirm?
Q17:
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the call will be exercised
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the put will be exercised
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the call will not be exercised.
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the put will not be exercised
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- At time t = 0, a trader takes a long position in a futures contract on stock i that willexpire at time T. the present value of this contract to the long is given by: See Image. Assume no-arbitrage price, briefly descthat if the return from stock i is positively correlated with the overall return on the stock market, then the futures market must be in backwardation at time t = 0.An option is trading at $3.45. If it has a delta of .78, what would the price of the option be if the underlying increases by $.75? A. What would the price of the option be if the underlying decreases by $.55? B. What makes this a call option? C. With a delta of .78, is this option ITM, ATM or OTM and how?At time t = 0, a trader takes a long position in a futures contract on stock i that willexpire at time T. the present value of this contract to the long is given by: See Image.Assume no-arbitrage pricing. Show analytically that if the return from stock i is positively correlated with the overall return on the stock market, then the futures market must be in backwardation at time t = 0.
- A. An option is trading at $5.03. If it has a delta of -.56, what would the price of the option be if the underlying increases by $.75? What would the price of the option be if the underlying decreases by $.55? B. What type of option is this and how? C. With a delta of -.56, is this option ITM, ATM or OTM and how?which one is correct please confirm? Q15: An option that can only be exercised at maturity is called a(n swap stock option European option. American optionA call option with X = $55 on a stock priced at S = $60 is sells for $12. Using a volatility estimate of σ = 0.35, you find that N(d1) = 0.7163 and N(d2) = 0.6543. The risk-free interest rate is zero. Is the implied volatility based on the option price more or less than 0.35?
- A one-year gold futures contract is selling for $1,247. Spot gold prices are $1,200 and the one-year risk-free rate is 2%. a) According to spot-futures parity, what should be the futures price? b) What risk-free strategy can investors use to take advantage of the futures mispricing, and what would be the profits from that strategy?A Eurodollar futures price changes from 99.45 to 94.32. What is the gain or loss to an investor who is long 5 contracts? Choose the right answer: a. The investor makes gain – 128.25$ b. The investor makes loss – 641.25$ c. The investor makes loss – 195$ d. The investor makes gain – 195.25$ e. The investor makes loss – 128.25$Consider a stock that pays no dividends on which a futurescontract, a call option, and a put option trade. The maturity date for all three contracts is T, the strikeprice of both the put and the call is K, and the futures price is F. Prove that if K = F, then the price ofthe call option equals the price of the put option.
- What is the margin deposit on a futures contract priced at $97,546 and a 15% initial margin requirement? Group of answer choices 13,500 14,632 16,008 14,696 12,978If the price of a T-Bill futures contract has an FIMM price of 96.00 at maturity. If a short delivers the required cash T-Bill into one maturing futures contract, the short will receive none of these other answers are correct $96,000 $990,000 $99,000 $960,000You use a forward binominal tree to price options on a futures contract. You are given: i) The period is 1 year ii) The volatility of the futures price is 30% iii) The initial futures price is 100 iv) The continuously compounded risk-free rate is 3% Calculate the price of a one-year 110-strike European call option on the futures contract. A. 8.68 B 9.13 C 10.32 D 11.54 E 12.06