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Calculating option payoffs

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Reference no: EM133110119

 

Calls

Puts

Close

Strike Price

Expiration

Vol.

Last

Vol.

Last

Hendreeks

 

 

 

 

 

 

103

100

Feb

72

5.20

50

2.40

103

100

Mar

41

8.40

29

4.90

103

100

Apr

16

10.68

10

6.60

103

100

Jul

8

14.30

2

10.10

Please use the above table to solve question 1.

1. Calculating Option Payoffs (LO2, CFA2). Suppose you write 30 of the July 100 put contracts. What is your net gain or loss if Hendreeks is selling for $90 at expiration? For $110? What is the break-even price, that is, the terminal stock price that results in a zero profit? Please show calculations in details.

2. 8. Put-Call Parity (LO4, CFA1). A call option is currently selling for $3. It has a strike price of $65 and six months to maturity. What is the price of a put option with a $65 strike price and a six months to maturity? The current stock price is $66 and the risk-free interest rate is 5 percent.

Reference no: EM133110119

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