option-pricing2

option-pricing2 - CREE Page 1 Stirke Price: 75% Rate: 27.94...

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Unformatted text preview: CREE Page 1 Stirke Price: 75% Rate: 27.94 25 75% 32 0.5 4% 23.94 #MACRO? #MACRO?-4.00 #MACRO? #MACRO? #MACRO? ###-14% 24.44 #MACRO? #MACRO?-3.50 #MACRO? #MACRO? #MACRO? ###-13% 24.94 #MACRO? #MACRO?-3.00 #MACRO? #MACRO? #MACRO? ###-11% 25.44 #MACRO? #MACRO?-2.50 #MACRO? #MACRO? #MACRO? ###-9% 25.94 #MACRO? #MACRO?-2.00 #MACRO? #MACRO? #MACRO? ###-7% 26.44 #MACRO? #MACRO?-1.50 #MACRO? #MACRO? #MACRO? ###-5% 26.94 #MACRO? #MACRO?-1.00 #MACRO? #MACRO? #MACRO? ###-4% 27.44 #MACRO? #MACRO?-0.50 #MACRO? #MACRO? #MACRO? ###-2% 27.94 #MACRO? #MACRO? 0.00 #MACRO? #MACRO? #MACRO? ### 0% 28.44 #MACRO? #MACRO? 0.50 #MACRO? #MACRO? #MACRO? ### 2% 28.94 #MACRO? #MACRO? 1.00 #MACRO? #MACRO? #MACRO? ### 4% 29.44 #MACRO? #MACRO? 1.50 #MACRO? #MACRO? #MACRO? ### 5% 29.94 #MACRO? #MACRO? 2.00 #MACRO? #MACRO? #MACRO? ### 7% 30.44 #MACRO? #MACRO? 2.50 #MACRO? #MACRO? #MACRO? ### 9% 30.94 #MACRO? #MACRO? 3.00 #MACRO? #MACRO? #MACRO? ### 11% 31.44 #MACRO? #MACRO? 3.50 #MACRO? #MACRO? #MACRO? ### 13% 31.94 #MACRO? #MACRO? 4.00 #MACRO? #MACRO? #MACRO? ### 14% Initial Stock Price Volatility Call: Time to Expiration: Price Increment: Volatility Puts: Stock Price BS-Call Quoted Premium BS-Put Quoted Premium Stock Profit Delta of Mimickin g Mimickin g Value Mimicking Profit ROR Mimick ROR Stock CREE Page 2 Rf 2.15% ###-1.06 Vol 25.00% ###-0.56 T 0.33 ###-0.06 E 125 ### 0.44 S 125.0000 ### 0.94 ### 1.44 ### 1.94 ### 2.44 2.94 ### 3.44 ### 3.94 ### 4.44 ### 4.94 ### 5.44 ### 5.94 ### 6.44 ### 6.94 Levera ge Payoff if Exercised Strategy01 Page 3 Max(0,S-E) Delta Gamma 80.00 #MACRO? 0.00-40.00 ### #MACRO? ### ### ### 85.00 #MACRO? 0.00-35.00 ### #MACRO? ### ### ### 90.00 #MACRO? 0.00-30.00 ### #MACRO? ### ### ### 95.00 #MACRO? 0.00-25.00 ### #MACRO? ### ### ### 100.00 #MACRO? 0.00-20.00 ### #MACRO? ### ### ### 105.00 #MACRO? 0.00-15.00 ### #MACRO? ### ### ### 110.00 #MACRO? 0.00-10.00 ### #MACRO? ### ### ### 115.00 #MACRO? 0.00-5.00 ### #MACRO? ### ### ### 120.00 #MACRO? 0.00 0.00 ### #MACRO? ### ### ### 125.00 #MACRO? 0.00 5.00 ### #MACRO? ### ### ### 130.00 #MACRO? 5.00 10.00 ### #MACRO? ### ### ### 135.00 #MACRO? 10.00 15.00 ### #MACRO? ### ### ### 140.00 #MACRO? 15.00 20.00 ### #MACRO? ### ### ### 145.00 #MACRO? 20.00 25.00 ### #MACRO? ### ### ### 150.00 #MACRO? 25.00 30.00 ### #MACRO? ### ### ### 155.00 #MACRO? 30.00 35.00 ### #MACRO? ### ### ### Stock Price BS-Call Quoted Premium Stock Profit Dollar Delta Dollar Gamma Option Price 80.00 85.00 90.00 95.00 100.00 105.00 110.00 115.00 120.00 125.00 130.00 135.00 140.00 0.00 20.00 40.00 60.00 80.00 100.00 120.00 140.00 160.00 180.00 Option Strategy Stock Price BS-Call Quoted Premium Covered Call Stock Price Value Strategy01 Page 4 Rf 2.15% #MACRO? #MACRO? 8000.00-36% Vol 25.00% #MACRO? #MACRO? 8500.00-32% T 0.33 #MACRO? #MACRO? 9000.00-28% E 125 #MACRO? #MACRO? 9500.00-24% S 125.0000 #MACRO? #MACRO? 10000.00-20% #MACRO? #MACRO? 10500.00-16% #MACRO? #MACRO? 11000.00-12% #MACRO? #MACRO? 11500.00-8% #MACRO? #MACRO? 12000.0012000....
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This note was uploaded on 02/09/2010 for the course FIN 459 taught by Professor Yildary during the Spring '07 term at Syracuse.

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option-pricing2 - CREE Page 1 Stirke Price: 75% Rate: 27.94...

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