2-11-2011 Comprehension Check on Treasury Options

- 119 CALL 0'25 0'10 0'15 0'41 0'19 748 1:33:56 PM CST 119 PUT 1'03-0'44 1'47 1'14 0'51 84 1:34:33 PM CST 120 CALL 0'09 0'03 0'06 0'18 0'08 908

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Treasury Options: Trade Date: 2/11/2011 Futures Underlier Month Charts Last Change Prior Settle High Low Volume Updated 118'10 +0'26 117'16 118'28 117'21 319,388 1:46:00 PM CST Option Quotes Type Expiration Strike Range View Calls Puts Strike Price Type Last Change Prior Settle High Low Volume Updated 116 CALL 2'22 +0'38 1'48 2'39 - 1 11:51:46 AM CST 116 PUT 0'05 -0'11 0'16 0'08 0'04 1,797 1:45:40 PM CST 117 CALL 1'34 +0'33 1'01 1'63 1'10 3 1:33:56 PM CST 117 PUT 0'15 -0'18 0'33 0'25 0'10 1,017 1:27:10 PM CST 118 CALL 0'54 +0'20 0'34 1'14 0'38 159 1:33:52 PM CST 118 PUT 0'34 -0'32 1'02 0'57 0'25 666 1:35:49 PM CST
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Unformatted text preview: 119 CALL 0'25 +0'10 0'15 0'41 0'19 748 1:33:56 PM CST 119 PUT 1'03-0'44 1'47 1'14 0'51 84 1:34:33 PM CST 120 CALL 0'09 +0'03 0'06 0'18 0'08 908 12:28:21 PM CST 120 PUT 1'57-0'45 2'38 1'56 1'56 20 11:26:38 AM CST Answer the following: 1. What happened to interest rates over the past day? 2. Which calls are “in the money?” Which puts? 3. In $’s, what is the intrinsic value of the 117 Call? The 120 Call? 4. In $’s, what is the intrinsic value of the 117 Put? The 120 Put? 5. Determine the Time value in each of the options in Question 4....
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This note was uploaded on 02/22/2012 for the course MANEC 453 taught by Professor Jerrynelson during the Winter '10 term at BYU.

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