act370-jan24-07 - M7 570/ Km (iv/07 gum SPMZAD: K) 4 KL...

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Unformatted text preview: M7 570/ Km (iv/07 gum SPMZAD: K) 4 KL LONG @va KU SHOIL‘Z (ax/w KL / WW 7 WW M 7 (Mn) — 6mm my 5374905 “Way/(2)03 7 Time T paynff an hull spread with call nptinns l Kg-Hl ’ Time T prnfit an I hull spread Time T paynfl’ an hull spread M111 put options ffpol/l/ SPREAD Cak’gmcflfb Ulflrl’ P07 OPflOMS [4‘4K LONG (’07 l/(\ + 31%sz P07 KL * Mxmflmbfi / WW9 K567,“ / / s7/ «1 m 3,4 If} : gT/K, — (Kym €/ 7 K / / O L (k 4 / 2 10/5709? ,K) [704' /0 M W K1/1) I H Jel/UG / L‘ / / M 7 N P/M’fl 01° ODD/(“r WW 09 40W S/M/tb 42,; gmg A7 71”“: ( / PAVE: : PMOFPZ + OEDSflHG/ Meal/1 ; (@0127), J: @ p\ M TM? 0 W‘L‘Jé : \ffiLUuz ,I; .. / COLLA—K 61+05VT mu, KL K5, [3 A Ki : L? PAHon {WW5 W’SI, OK 1 __ 1‘24, $41? 09 (713 4/ 25’ Tllce/ CoI/(LKW— ls «(a/w) g m JIM/1W :2 ’ ALL. 6067 {g ,QZ (2/24) (“L7 9 H2 T R1 / 1/ TflneTFaFDfi'Dn PHVOF'L 9 (’0be OWL/OFF collared stuck ,. I? S‘ g {3 " I gf, £74 a é 25' 75’ g. 7 23’ TimeTpagrnfl: Pd’DFIT 0M cpl/LAMA §TOCK nncnfla: ; MC 00§7 (ll/23 32 awn (64 S“, 6/ 25’ 251.72 SI 7 25/ Wer («Um 00524494 K/IKZ Lax MCET / as? PAW)???” :1 K\’6T €75 /C\ 3 kW / (/ v 1Kt<§7 : K7. 7 7 mafia? \fg7 €77 K) K} 577/9. a , O 479 (Cl L_— IC'\Z $7.6 + K} L) I 3 PMon up IAULL Sf%4D own: (We K” m \_’___ _ / L ,/ q 1/ 7/}; L037 Com/W69 gwd/ _L/ L) ——— 24¢ «l/‘(S/kw ‘2 / \ «MD 714‘ 2 (7‘7/ {MP1, « 4mm (94 3,4»; / Ace-4057 2 ">0 s/ 7 0 20/20 STMDDMZ‘E 1/0/06 P07 $T/MMGE K\ AK» [Lama 0u7Kl (/0106 (ML KL ’5 2? MM Kr'5«.0$/1‘MV;5,«/(Z 63 1 I myqu 3’41 5/5“, / o 1:4 5, é fl 3/25’ 3 >25 V7S'k’,8fi$)—/é‘f a 2. _/ 15 Time 1 profit _|. art straddle Time 1 profit arr strangle @uTTEKFb‘I Qfiwiaoocfifllmwé + 611%? Sfmel/é 143/157 K7725 K720 Paw 1“, $2445 6, 40 614 2° / 0 15136” 4’ 6105’ Saki M’él 3?” a /S/ g) f (3’ 3’7"? 25%, 9 7/0 (If 2» is My 2‘9 Ag/ 6 L5. 5 6, 725 mm ; PM»? / (/37?) A7 I GflTG/L 5’07 Sfifléfl K. 4 K4 KL woo “Mu/we” K) [12 S [7913/7 57mwa K (MUG PUT KW [Ir (mow? PUT K) Q/wo (Ad/L K7) (glam? L‘rbL K.) ‘SOM/ g/lEADWuTs) [Q K 4g :4 + {A 51+va (920w 5mm); Law/s) K, KL UééAe. swam ) —:: K\ l/\ (7’ J\/ 1E1 Time 1 profit on written straddle Time 1 w an butterfly PUT” C4LL chwy MUG Um [K T) + 5mm PUT/Km) fiffiflflfifivk) —/——”_ J §’P( g/ek / For. c 7 ‘ ‘ f §J/(/\: WM 69 SJJVK €77K / “MG FWD (AMI/[7L VA’l/dw/ 47 Two/’0 (Nib/“WV P/ULEK ~c 7; (F0‘7/K)€/rlc FP/w Kean .” 0,! .. / / v:- /——— (Uowcg P/aéP/Jr/b a») 5097/)? No b/\/ ) L‘,O€ pp»ch géUMPEA/J Ofl'l/IOA) [jg a PCK‘H Fc-sztgba/qjjf M‘ é'cfg {7f C Liz/P0902204? 7° 3'57 2,47 /D< 2/ P 7< gm ) 1,0100 Ont/((1,7) + Sin/L7 PUTH/HT) : Long PD}; ML K / ’ :‘ wmo/Aéséj + 5mm 2m ;3{/l’< ’ K §VMTI+G7IC €0$[’(R)AJ§ (No D/u. 092 lug (9p ,Jrégm) 1/vo AcéQB'T 2 W56 Um 44mm Paf + 0000215720 K 30 : {mm a PM?) + Kg” ’ 4/91 0/5 c LL {$le }6M K SHOW Par 3 WW ’ / éuwoSE TIM/T éoméwb’ lg Q/LM'UG 70 $23M, Pu‘f (1%» v1er 5mm 2. rm g AT (UL/u: O ' -/ (some) w)§6c,t (ML 5,172) 9,7747 A 607 44$67/ 20%} " fbw/ I’Jf 3 5 M 7m?! 3’ 9' séLL‘W? 2/ :17 9,72] H — 2/! R6? (JAM 1370UD P/Wé COUOOIQ 663 I0 A7 [SA/b fl: WHYQ CUMW fsoNo Woe is ?0. flags, VA’VUE (DC, [71?— Wfio (grub (21714100 [5 / WWW caUC’M) by W‘Wu’oc { L/L P07 on/d/J wiflr" 371M“? “90 P: l 4/ E. _(€0’;>71(I7é I, 08’ 1: 0< At time D, the share price OFKYZ sto ck waegfl. At that time, call and put option prices expiring at time 1 for strike prices 15",21211J 21 and 25 were Strike Price C311 Price Put Price 15 6.46 6.35 13" 5.16 1.35 19 4.616 2.16 20 3.59 2.64 21 3.1? 3.1? 23 2.45 4.36 25 1.89 5.30 (,JL'HCH’ 6/4415 (OM—fle/OUS' , o / Pfljcé it/gl L—iuu‘; 1:er mac/«167M v1: / ) Q / /r army/Pow) /€.t / KY? grim/u Cufl/ZEWO/ EM) MVP/W T _ | (A (71/57/1471; /——"‘ “E ’* (kngzw can/b Vol 10216115 / / Paw r1, / ' ‘Dmes‘lc 6.1‘79 cumléwc7 C 3 )(o {‘F1T 1,be k 11: g /— BI .- «F _. Cam), Paw) «a F » Kg “ o , [Ckflzrfll‘o Z 5F) (Diet/q”??? 515’ (jug; J’s/2i $313 ug A .5? C(.2<o,t)v P(.<go)1) : gsw J {go i {0% US _/ / I'b‘fl [.orx {T T L/\__L NSSWA gk Sta/T (S Q PCS t QT C/J(LL oQTfl/O To EXCHA/Uéb @ too/L Ag—SFTA h,— (dud/(ifldg Dr} CW)? &) ’ V byép’UStD 2F Sf 7 (17 ~97 PAWon WV} g-T/Of\0-B WT 09/41»): ( mama/5, (ax/z; Ac) .2 v ...
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This note was uploaded on 09/27/2009 for the course STA ACT370 taught by Professor Broverman during the Spring '07 term at University of Toronto- Toronto.

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act370-jan24-07 - M7 570/ Km (iv/07 gum SPMZAD: K) 4 KL...

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