{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

option-pricing2

option-pricing2 - CREE Page 1 Stirke Price 75 Rate 27.94 25...

Info iconThis preview shows pages 1–5. Sign up to view the full content.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

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....
View Full Document

{[ snackBarMessage ]}

Page1 / 29

option-pricing2 - CREE Page 1 Stirke Price 75 Rate 27.94 25...

This preview shows document pages 1 - 5. Sign up to view the full document.

View Full Document Right Arrow Icon bookmark
Ask a homework question - tutors are online