Sample Treasury Option Valuation Question

Sample Treasury Option Valuation Question - 30-YEAR U.S....

Info iconThis preview shows pages 1–3. 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 DocumentRight Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: 30-YEAR U.S. TREASURY BOND Trade Date: 2/9/2009 Futures Prior Month Last Change Open High Low Settle Mar 2009 125'185 -0'085 125'270 125'260 126'010 124'315 Jun 2009 124'095 -0'075 124'170 124'110 124'165 123'225 Volume Updated 107734 4927 2/9/2009 2/9/2009 30-YEAR U.S. TREASURY BOND Trade Date: 2/9/2009 Options Exp June 2009 Prior Month Last Change High Low Volume Updated Settle Jun 2009 124'200 +0'005 124'170 124'210 123'225 5033 2/9/2009 Strike Price Type Last Prior Settle Change High Low Volume Updated 125 CALL 5'15 - 5'24 - - - 2/9/2009 125 PUT 5'43 +0'18 5'54 6'08 - 1 2/9/2009 126 CALL 4'48 - 4'57 - - - 2/9/2009 126 PUT 6'12 +0'10 6'23 6'43 - 1 2/9/2009 127 CALL 4'19 -0'08 4'28 - 4'20 1 2/9/2009 127 PUT 6'57 - 6'58 - - - 2/9/2009 30-YEAR U.S. TREASURY BOND Trade Date: 5/22/2009 Futures Prior Month Last Change Open High Low Volume Updated Settle Jun 2009 120'17 +0'065 120'105 120'080 120'210 120'050 17208 5/22/2009 Sep 2009 5/22/2009 119'055 +0'060 118'315 118'310 119'090 118'265 795 30-YEAR U.S. TREASURY BOND Trade Date: 5/22/2009 Options Exp June 2009 Month Last 120'17 Strike Price 125 Type CALL Prior Settle Change +0'065 Last 0'01 120'105 Change 0'00 High 120'210 Prior Settle 0'01 Low 120'050 High - Low - Volume 17673 Volume 2607 Updated 5/22/2009 Updated 5/21/2009 125 PUT 4'41 -0'03 4'44 4'43 a 4'41 a 17 5/21/2009 126 CALL 0'01 0'00 0'01 - - 673 5/21/2009 126 PUT 5'41 -0'03 5'44 5'43 a 5'41 a 21 5/21/2009 127 CALL 0'01 0'00 0'01 - - 271 5/21/2009 127 PUT 6'41 -0'03 6'44 6'43 a 6'41 a - 5/21/2009 Given the above data on Options on Treasury Futures and the graph drawn below, answer the following questions V1 V0 V4 V3 V2 1) Point 0 on the above graph corresponds with which option prices selected from the above Treasury Option Tables: 2) Point 1 on the above graph corresponds with which option prices selected from the above Treasury Option Tables: 3) V0 on the above graph is lower than V1 because: 4) The intrinsic value of the option specified as point 2 is: 5) All the values indicating option time values and/or time value changes are given as: ...
View Full Document

This note was uploaded on 02/22/2012 for the course MANEC 453 taught by Professor Jerrynelson during the Winter '10 term at BYU.

Page1 / 3

Sample Treasury Option Valuation Question - 30-YEAR U.S....

This preview shows document pages 1 - 3. Sign up to view the full document.

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