The investor constructed a covered call

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Consider a stock priced at $30 with a standard deviation of 0.3. The risk-free rate is 0.05. There are put and call options available at exercise price of 30 and a time to expiration of six months. The calls are priced at $2.89 and the puts cost $2.15. There are no dividends on the stock and the options are European. Assume that all transactions consist of 100 shares or one contract (100 options)

1) Suppose the investor constructed a covered call. At expiration the stock price is $27. What is the investor's profit?

2) Suppose the investor constructed a covered call, and the transaction described in problem 1 is closed out when the option has three months to go and the stock price is at $36, what is the investor's profit?

I get that the answer is -$2,711 for Q1, but I just can't seem to arrive at the answer for Q2 which is $229.

I only need the step by step answer for Q2

Reference no: EM131518749

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