Reference no: EM133113077
1. What is the extrinsic value of a 55-strike put option currently trading at $10.64 on a non-dividend-paying stock currently priced at $62.79 if the gamma is .06, the stock's historic volatility is 30%, the option delta is .65, and expires in 86 days?
2. You sold to open 10 25-strike calls for $2.10 each on a stock you own. You own 1,200 shares f the stock, which is currently trading at $23.66. The stock rises to $$25.41 and 1,000 shares are called at $25. What is your total return? (Ignore taxes and transaction costs).
3. You own a call option and the underlying just paid a dividend of $.25 per share. What affect does it have on the price of the option?
a. The option decreases $25 in value.
b. The option decreases $0.25 in value.
c. The option increases $25 in value.
d. The option increases $0.25 in value.
4. What is the delta of an option if the underlying closed up +$3.75 from yesterday's close but the option increased $3.00 and if the option has a theta of .10?
5. Look at the following chart: Which option has a strike closest to the stock price?
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OPTION:
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OPTION PRICE:
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DELTA:
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A
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$2.64
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.67
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B
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$1.86
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.85
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C
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$ .96
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.23
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D
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$1.05
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.47
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E
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$ .25
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.10
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