Author: Anonymous

IBM stock currently sells for 84 dollars per share. Over 8 months the price will either go up by 7.5 percent or down by −3.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. If you are short one call option with strike price 83 and maturity of 8 months, how many shares of stock must you buy to establish a delta-neutral position?

IBM stock currently sells for 84 dollars per share. The implied volatility equals 47.5 percent. The risk-free rate of interest is 4.5 percent continuously compounded. What is the delta of a call option with strike price 83 and maturity of 8 months?

IBM stock currently sells for 84 dollars per share. The implied volatility equals 47.5 percent. The risk-free rate of interest is 4.5 percent continuously compounded. What is the delta of a call option with strike price 83 and maturity of 8 months?

IBM stock currently sells for 44 dollars per share. Over 5 months the price will either go up by 13.5 percent or down by -6.5 percent. The risk-free rate of interest is 7.0 percent continuously compounded. A call option with strike price 45 and maturity of 5 months has a delta of 0.56136. If you are short one call option, what is the future value in 5 months of a delta-neutral portfolio?

IBM stock currently sells for 92 dollars per share. Over 3 months the price will either go up by 9. 5 percent or down by −6.0 percent. The risk-free rate of interest is 3.5 percent continuously compounded. If you are short one call option with strike price 89 and maturity of 3 months, how many shares of stock must you buy to establish a delta-neutral position?

IBM stock currently sells for 44 dollars per share. Over 5 months the price will either go up by 13.5 percent or down by -6.5 percent. The risk-free rate of interest is 7.0 percent continuously compounded. A call option with strike price 45 and maturity of 5 months has a delta of 0.56136. If you are short one call option, what is the future value in 5 months of a delta-neutral portfolio?

IBM stock currently sells for 92 dollars per share. Over 3 months the price will either go up by 9. 5 percent or down by −6.0 percent. The risk-free rate of interest is 3.5 percent continuously compounded. If you are short one call option with strike price 89 and maturity of 3 months, how many shares of stock must you buy to establish a delta-neutral position?

Which of the following creates a bear spread?

IBM stock currently sells for 84 dollars per share. Over 8 months the price will either go up  by 7.5 percent or down by −3.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. What is the delta of a put option with strike price 83 and maturity of 8 months?

IBM stock currently sells for 84 dollars per share. Over 8 months the price will either go up  by 7.5 percent or down by −3.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. What is the delta of a put option with strike price 83 and maturity of 8 months?