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chap11

# 50025andr006whatistheoptionelasticitygivenanimmediate

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Unformatted text preview: ice is A \$61.00. What is the theta of the option as the expiration time declines from60 to 50 days? A) 0.52 B) 0.42 C) 0.32 D) 0.22 Answer: C 14) ssume that a \$75 strike call has a 1.0% continuous dividend, 90 days until expiration and A stock price of \$72.00. What is the rho of the option as the interest rate changes from 6.0% to 5.0%? A) .07 0 B) .12 0 C) .16 0 D) .20 0 Answer: A 15) uppose a \$60 strike call has 45 days until expiration and pays a 1.5% continuous dividend. S Assume S = \$58.50, σ = 0.25, and r = 0.06. What is the option elasticity given an immediate price increase of \$1.50? A) 4.61 2 B) 8.61 1 C) 4.61 1 D) .61 9 Answer: B 16) ssume that an investor is currently holding a reverse straddle position (i.e. a short put and A short call), which is currently a profitable investment. All else being equal, what would this investor like to happen to vega? A) ecrease D B) ncrease I C) tay constant S D) ndifferent I Answer: A 17) f an investor is speculating with a long call position,...
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