Portfolio delta neutral
Assume that the share price of ABC stock is $90. Assume riskless annual interest rate is 8% and volatility of the share price is 0.35.
How many shares are needed to make your portfolio delta neutral if you sold 100 000 call options on the ABC-stock with a strike price of $110 and 3 months maturity?
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please just do question 7. thank you Silicon MicroSystems, Inc. (SMSI) stock is currently selling for...
please just do question 7.
thank you
Silicon MicroSystems, Inc. (SMSI) stock is currently selling for $100 and the firm pays no dividends. The stock's volatility is 0.30 and the risk-free rate is 8%. Consider the following 6-month call and put options on SMSI stock (assume that contract size is 1 share): 6. Call 1 Call 2 Call 3 Strike $90 Price $12.817 $6.999 $3.380 Delta Gamma $100$110 0.7690.548 0.333 ma 0.0180.024 0.022 Put 1 90 Put 2 Put 3...
A stock option market maker has a portfolio consisting of 200 shares of ABC Corp, and...
A stock option market maker has a portfolio consisting of 200 shares of ABC Corp, and the following option positions on ABC Corp. For simplicity, each option is assumed to be written on a single share of the stock. Quantity Exercise Price Option Type Price Delta Gamma 100 Stock 120 1 0 150 120 Call 4,3585 0,5362 0,0385 -120 125 Call 4,1383 0,4179 0,0268 100 115 Put 4,1947 -0,3289 0,0202 -100 130 Call 3,5891 0,2982 0,0238 The market maker is...
A stock option market maker has a portfolio consisting of 200 shares of ABC Corp, and...
A stock option market maker has a portfolio consisting of 200
shares of ABC Corp, and the following option positions on ABC Corp.
For simplicity, each option is assumed to be written on a single
share of the stock.
The market maker is worried about stock price movements in ABC’s
stock and would like to make his portfolio delta-neutral and gamma
neutral over the night. The current stock price of ABC is $120, the
volatility of the stock is 30%,...
please type your answer 4. Consider a portfolio consisting of 6 stocks and 10 put options...
please type your answer
4. Consider a portfolio consisting of 6 stocks and 10 put options on the stocks. The current stock price is So = 100 and the stike price of the options is X = 100. The stock price can take on only two values at maturity T given by Su = 120 and Sd = 90. The risk-free rate is given by 5%. (a) What is the payoff at maturity of the portfolio? (b) Calculate the "Delta"...
This is the entire question, there were no tables or any other information given. You just...
This is the entire question, there were no tables or any other
information given.
You just sold an at-the-money European Call option on a stock that pays no dividends. The size of this option contract is 100, the current stock price is $50, and the volatility and interest rate parameters are o = 25% and r = 5%. You decide to Delta-Gamma hedge your portfolio. That is, you plan to buy and sell shares of the stock and other options...
Suppose a portfolio is delta-neutral and has a gamma of -5600. A call option trades with...
Suppose a portfolio is delta-neutral and has a gamma of -5600. A call option trades with a delta of 0.5 and a gamma of 0.8. You buy this option to gamma-hedge. How many shares of stock do you need to buy (sell) to delta-hedge your portfolio after you added the option? a. Sell 3500 shares b. Buy 5000 shares c. Buy 3500 shares d. Sell 5000 shares
The table below gives today’s prices of six-month European put and call options written on a...
The table below gives today’s prices of six-month European put and call options written on a share of ABC stock at different strike prices. The stock does not pay a dividend and the risk-free interest rate is 0% per annum. Call Price ($) Strike Price ($) Put Price ($) 13.1 105 8.2 9.7 110 9.7 7.9 115 12.9 Using call options with strike prices of 105 and 110, create a bear spread and show in a table the profit of the...
the cash price of a one year treasury bill is 95 per 100 of face value....
the
cash price of a one year treasury bill is 95 per 100 of face value.
a 2 year bond with a face value of 100usd that pays annual coupons
of
8. The table below gives today's prices of six-month European put and call options written on a share of ABC stock at different strike prices. The stock does not pay a dividend and the risk-free interest rate is 0% per annum. Put Price (S) Call Price (S) 13.1 9.7...
15. The following options are available on XYZ stock: | Туре Call Put $30 $30 |...
15. The following options are available on XYZ stock: | Туре Call Put $30 $30 | 1.00 1.25 Delta 0.703 -0.292 Gamma 0.036 0.032 The stock is currently priced at $32 and has a volatility (0) of 30% p.a. The continuously compounded risk-free rate is 5% p.a. The Black-Scholes option pricing model values the call at $5.60 and the put at $2.14. (a) Assume an options trader sells an XYZ call option, what position must she take in the stock...
1. Consider the following information about a European call option on stock ABC: . The strike...
1. Consider the following information about a European call option on stock ABC: . The strike price is S100 The current stock price is $110 The time to expiration is one year The annual continuously-compounded risk-free rate is 5% ·The continuous dividend yield is 3.5% Volatility is 30% . The length of period is 4 months. Find the risk-neutral probability p*. Hint: 45.68%
please just do question 7.
thank you
Silicon MicroSystems, Inc. (SMSI) stock is currently selling for $100 and the firm pays no dividends. The stock's volatility is 0.30 and the risk-free rate is 8%. Consider the following 6-month call and put options on SMSI stock (assume that contract size is 1 share): 6. Call 1 Call 2 Call 3 Strike $90 Price $12.817 $6.999 $3.380 Delta Gamma $100$110 0.7690.548 0.333 ma 0.0180.024 0.022 Put 1 90 Put 2 Put 3...
A stock option market maker has a portfolio consisting of 200
shares of ABC Corp, and the following option positions on ABC Corp.
For simplicity, each option is assumed to be written on a single
share of the stock.
The market maker is worried about stock price movements in ABC’s
stock and would like to make his portfolio delta-neutral and gamma
neutral over the night. The current stock price of ABC is $120, the
volatility of the stock is 30%,...
please type your answer
4. Consider a portfolio consisting of 6 stocks and 10 put options on the stocks. The current stock price is So = 100 and the stike price of the options is X = 100. The stock price can take on only two values at maturity T given by Su = 120 and Sd = 90. The risk-free rate is given by 5%. (a) What is the payoff at maturity of the portfolio? (b) Calculate the "Delta"...
This is the entire question, there were no tables or any other
information given.
You just sold an at-the-money European Call option on a stock that pays no dividends. The size of this option contract is 100, the current stock price is $50, and the volatility and interest rate parameters are o = 25% and r = 5%. You decide to Delta-Gamma hedge your portfolio. That is, you plan to buy and sell shares of the stock and other options...
the
cash price of a one year treasury bill is 95 per 100 of face value.
a 2 year bond with a face value of 100usd that pays annual coupons
of
8. The table below gives today's prices of six-month European put and call options written on a share of ABC stock at different strike prices. The stock does not pay a dividend and the risk-free interest rate is 0% per annum. Put Price (S) Call Price (S) 13.1 9.7...
15. The following options are available on XYZ stock: | Туре Call Put $30 $30 | 1.00 1.25 Delta 0.703 -0.292 Gamma 0.036 0.032 The stock is currently priced at $32 and has a volatility (0) of 30% p.a. The continuously compounded risk-free rate is 5% p.a. The Black-Scholes option pricing model values the call at $5.60 and the put at $2.14. (a) Assume an options trader sells an XYZ call option, what position must she take in the stock...
1. Consider the following information about a European call option on stock ABC: . The strike price is S100 The current stock price is $110 The time to expiration is one year The annual continuously-compounded risk-free rate is 5% ·The continuous dividend yield is 3.5% Volatility is 30% . The length of period is 4 months. Find the risk-neutral probability p*. Hint: 45.68%
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