der_p3_sol-1 - Derivative Strategy Name 1. A strategy...

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Unformatted text preview: Derivative Strategy Name 1. A strategy consists of buying a market index product at $830 and longing a put on the index with a strike of $830. If the put premium is $18.00 and interest rates are 0.5% per month, what is the profit or loss at expiration (in 6 months) if the market index is $810? A. $20.00 gain B. $18.65 gain C. $36.29 loss D. $43.76 loss 2. A strategy consists of buying a market index product at $830 and longing a put on the index with a strike of $830. If the put premium is $18.00 and interest rates are 0.5% per month, compute the profit or loss from the long put position by itself (in 6 months) if the market index is $810. A. $3.45 gain B. $1.45 gain C. $2.80 loss D. $1.36 loss 3. A strategy consists of buying a market index product at $830 and longing a put on the index with a strike of $830. If the put premium is $18.00 and interest rates are 0.5% per month, what is the estimated price of a call option with an exercise price of $830? A. $42.47 B. $45.26 C. $47.67 D. $49.55 4. A strategy consists of longing a put on the market index with a strike of 830 and shorting a call option on the market index with a strike price of 830. The put premium is $18.00 and the call premium is $44.00. Interest rates are 0.5% per month. Determine the net profit or loss if the index price at expiration is $830 (in 6 months). A. $0 B. $23.67 loss C. $26.79 gain D. $28.50 gain 5. A strategy consists of longing a put on the market index with a strike of 830 and shorting a call option on the market index with a strike price of 830. The put premium is $18.00 and the call premium is $44.00. Interest rates are 0.5% per month. What is the breakeven price of the market index for this strategy at expiration (in 6 months)?market index for this strategy at expiration (in 6 months)?...
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This note was uploaded on 02/27/2012 for the course FINANCE 101 taught by Professor Yuy during the Spring '12 term at Centenary College New Jersey.

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der_p3_sol-1 - Derivative Strategy Name 1. A strategy...

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