How much do you lose per day for your strangle

Assignment Help Financial Management

Reference no: EM131525006

Underlying trading at $100, and $20 annualized implied volatility. You think IV is too low and decide to buy a 90-110 strangle with 3 months to expiration (DTE=63).

(Hint: a strangle is a combination of OTM PUT and OTM CALL.)

Assume interest rate of zero and normal distribution of prices.

How much do you lose per day for your strangle if underlying did not move?

Reference no: EM131525006

Questions Cloud

Thought of for evaluating the hazard : In your response to other students in the course, offer them some ideas that they may not have thought of for evaluating the hazard.

Reflect on various elements related to conveying messages : Would you know how to engage appropriately with a client under such conditions?Identify & reflect on various elements related to conveying effective messages.

Consideration of the ideas and concepts : Your paper should demonstrate thoughtful consideration of the ideas and concepts presented in the course by providing new thoughts and insights.

What is the price per share : The balance sheets of Roop Industries are shown below. The 12/31/2006 value of operations is $651 million and there are 10 million shares of common equity.

How much do you lose per day for your strangle : How much do you lose per day for your strangle if underlying did not move?

Prepare an amortization schedule for the loan : Prepare an amortization schedule for the loan. How much interest will you pay over the life of the loan.

What is the value of equity : The balance sheets of Hutter Amalgamated are shown below. If the 12/31/2006 value of operations is $756 million, what is the 12/31/2006 value of equity?

What is the delta and gamma of your strangle when purchased : Underlying trading at $100, and $20 annualized implied volatility. What is the delta and gamma of your strangle when purchased?

Identify three elements of supply chain that you recommend : Identify three elements of the supply chain that you recommend as targets for improvement. Why are these specific changes important to your customers?

User Account

All Pages