Assignment 5 solution

Assignment 5 solution - FINA 3361 ASSIGNMENT #5 Winter 2011...

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Unformatted text preview: FINA 3361 ASSIGNMENT #5 Winter 2011 DUE FRIDAY, April 1, 2011-@ 12 NOON TOTAL 52 marks Problem 1 (40 marks) Below you will find option quotes for Suncor Energy as at March 23, 2011. Stock Price March 23, 2011 $44.09 Calls Puts Month / Strike Ask Price Month / Strike Ask Price + 11 AL 34.000 10.2 + 11 AL 34.000 0.06 + 11 AL 36.000 8.2 + 11 AL 36.000 0.07 + 11 AL 38.000 6.25 + 11 AL 38.000 0.11 + 11 AL 40.000 4.35 + 11 AL 40.000 0.22 + 11 AL 42.000 2.69 + 11 AL 42.000 0.54 + 11 AL 44.000 1.4 + 11 AL 44.000 1.29 + 11 AL 46.000 0.59 + 11 AL 46.000 2.49 + 11 AL 48.000 0.22 + 11 AL 48.000 4.2 + 11 AL 50.000 0.11 + 11 AL 50.000 6.05 + 11 AL 52.000 0.06 + 11 AL 52.000 8 + 11 AL 54.000 0.01 + 11 AL 54.000 10 + 11 MA 36.000 8.45 + 11 MA 36.000 0.21 + 11 MA 38.000 6.6 + 11 MA 38.000 0.38 + 11 MA 40.000 4.95 + 11 MA 40.000 0.7 + 11 MA 42.000 3.45 + 11 MA 42.000 1.25 + 11 MA 44.000 2.25 + 11 MA 44.000 2.09 + 11 MA 46.000 1.37 + 11 MA 46.000 3.2 + 11 MA 0.77 + 11 MA 4.65 1 48.000 48.000 + 11 MA 50.000 0.42 + 11 MA 50.000 6.35 + 11 MA 52.000 0.23 + 11 MA 52.000 8.15 + 11 MA 54.000 0.16 + 11 MA 54.000 10.05 When calculating your responses, use the call or put premium under Ask column. Use the information from this file to answer the following questions: 1. Using the 11 April calls and puts, which options are in-the-money, at-the- money or out-of the-money? (4 marks) Stock Price 44.09 Calls Puts Month / Strike Ask Price Month / Strike Ask Price + 11 AL 34.000 10.2 In the money + 11 AL 34.000 0.06 Out of the money + 11 AL 36.000 8.2 In the money + 11 AL 36.000 0.07 Out of the money + 11 AL 38.000 6.25 In the money + 11 AL 38.000 0.11 Out of the money + 11 AL 40.000 4.35 In the money + 11 AL 40.000 0.22 Out of the money + 11 AL 42.000 2.69 In the money + 11 AL 42.000 0.54 Out of the money + 11 AL 44.000 1.4 In the money + 11 AL 44.000 1.29 Out of the money + 11 AL 46.000 0.59 Out of the money + 11 AL 46.000 2.49 In the money + 11 AL 48.000 0.22 Out of the money + 11 AL 48.000 4.2 In the money + 11 AL 50.000 0.11 Out of the money + 11 AL 50.000 6.05 In the money + 11 AL 52.000 0.06 Out of the money + 11 AL 52.000 8 In the money + 11 AL 54.000 0.01 Out of the money + 11 AL 54.000 10 In the money + 11 AL 56.000 0.05 Out of the money + 11 AL 56.000 12 In the money 2. Compute the time value and intrinsic value for all 11 Apr call options that are in-the-money and all put options that are out-of-the-money. (6marks) 2...
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Assignment 5 solution - FINA 3361 ASSIGNMENT #5 Winter 2011...

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