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chap11

# W a elta d b ho r c heta t d ega v answer c 4 25

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Unformatted text preview: if the option expires in 60 days and the price rises to \$50.00 after 5 days? A) 1.05 loss \$ B) 1.05 gain \$ C) 1.12 gain \$ D) 1.12 loss \$ Answer: C 22) ssume S = \$33.00, σ = 0.32, r = 0.06, div = 0.01. You short 100 \$35 strike puts at 68 days until A expiration. Under a delta hedge position, what is your overnight profit/loss if the stock rises to \$34.50? Assume no cost to short stock. A) 8.30 gain \$ B) 8.30 loss \$ C) 9.56 gain \$ D) 9.56 loss \$ Answer: D 23) hat is net dollar gain or cost required to create a short put delta hedge against a 100 short W put position? Assume puts are priced at \$1.98, the delta is 0.489, the stock price is \$34.50, and no cost to short stock. A) 1,540.50 gain \$ B) 1,540.50 cost \$ C) 2,319.58 gain \$ D) 2,319.58 cost \$ Answer: C 24) hich Greek is also called the time decay? W A) elta D B) ho R C) heta T D) ega V Answer: C 4 25) hat Greek will a trader be most interest in if she is buying and selling volatility index W options? A) elta D B) ho R C) heta T D) ega V Answer: D 26) he Greek that is also called the Hedge R...
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