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1.) You have the following information:
Put: X=$40, Premium=$4
Call: X=$50, Premium=$6
You bought the stock at $45
Scenarios: S=20, S=45, S=90
Given above information, please calculate the net payouts for a protective put strategy for each different scenario.
-$9, -$4, $41
$25, $0, $0
-$5, $-9, $0
$16, -$4, $45
2.) You have the following information:
Put: X=$40, Premium=$4
Call: X=$50, Premium=$6
You bought the stock at $45
Scenarios: S=20, S=45, S=90
Given above information, please calculate the net payouts for a covered call strategy for each different scenario.
$6, $6, $11
$6, $0, $51
-$19, $6, $11
-$19, $6, $51
-$6, -$6,$45
3.) You have the following information:
Put: X=$40, Premium=$4
Call: X=$50, Premium=$6
You bought the stock at $45
Scenarios: S=20, S=45, S=90
Given above information, please calculate the net payouts for a collar strategy for each different scenario.
-$3, $2, $7
-$9, $6, $11
$16, $2, $52
-$4, $0, $6
4.) You have the following information:
S=65, X=60, T=1, r=0, C=7, P=4
Evaluating the situation from a Put-Call Parity framework, what steps would you take to implement an arbitrage strategy?
Sell Call, Buy Put, Short Stock, Invest remainder
Sell Call, Buy Put, Buy Stock, Borrow remainder
Buy Call, Sell Put, Buy Stock, Borrow remainder
Buy Call, Sell Put, Short Stock, Invest remainder
Buy Call, Sell Put, Short Stock, Borrow remainder
5.) Given the information and the solution you found for Question #20, what is the arbitrage amount?
If S>X, then $6 and if S If SX, the arbitrage will be $4
If S>X, then $3 and if S
If S>X, then $2 and if S
If SX, the arbitrage will be $2
6.) You have the following information:
S=26, X=20, T=2, r=3.4%, C=15, P=6
Evaluating the situation from a Put-Call Parity framework, what steps would you take to implement an arbitrage strategy?
Sell Call, Buy Put, Buy Stock, Borrow remainder
Sell Call, Buy Put, Short Stock, Invest reaminder
Buy Call, Sell Put, Buy Stock, Borrow remainder
Buy Call, Sell Put, Buy Stock, Invest remainder
Buy Call, Sell Put, Short Stock, Invest remainder
7.) Using the information and the solution from Question #22, what would be the final arbitrage amount? (approximately)
If S>X or S If S>X then $9, if S If S>X or S
If S>X then $3, if S
If S>X or S
8.) You have the following information:
S=20, E=24, r=8%, t=1, standard deviation=0.30
Using the Black-Scholes Model, calculate the approximate Call price
$2.33
$3.50
$4.11
$1.59
$1.21
9.) Given the information and the answer you received from Question #24, calculate the appropriate Put price
$2.42
$3.74
$1.45
$4.66
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