What will be the gain or loss on the collar

Reference no: EM131956268

Question: A collar is established by buying a share of stock for $46, buying a six-month put option with exercise price $43, and writing a six-month call option with exercise price $49. Based on the volatility of the stock, you calculate that for an exercise price of $43 and maturity of six months, N(d1) = 0.6974, whereas for the exercise price of $49, N(d1) = 0.6504.

What will be the gain or loss on the collar if the stock price increases by $1? (Input the amount as a positive value. Round your answer to 3 decimal places.)

Reference no: EM131956268

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