{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}


Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

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,...
View Full Document

{[ snackBarMessage ]}