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.
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?
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).
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 Spring '12
 yuy
 Interest, Interest Rate, Strike price, market index

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