Calls Puts Strike March June March June 45 6.84 8.41 1.18 2.09 50 3.82 5.58 3.08 4.13 55 1.89 3.54 6.08 6.93 Assume that each transaction consists of one contract (for 100 shares) unless otherwise indicated. What is the cost of the box spread if we are constructing a long box spread using the June 50 and 55 options?
Calls Puts Strike March June March June 45 6.84 8.41 1.18 2.09 50 3.82 5.58 3.08 4.13 55 1.89 3.54 6.08 6.93 Assume that each transaction consists of one contract (for 100 shares) unless otherwise indicated. What is the cost of the box spread if we are constructing a long box spread using the June 50 and 55 options?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
Question
The following prices are available for call and put options on a stock priced at $50. The risk-free rate is 6 percent and the volatility is 0.35. The March options have 90 days remaining and the June options have 180 days remaining. The Black-Scholes model was used to obtain the prices.
|
|
Calls |
Puts |
||
|
Strike |
March |
June |
March |
June |
|
45 |
6.84 |
8.41 |
1.18 |
2.09 |
|
50 |
3.82 |
5.58 |
3.08 |
4.13 |
|
55 |
1.89 |
3.54 |
6.08 |
6.93 |
Assume that each transaction consists of one contract (for 100 shares) unless otherwise indicated. What is the cost of the box spread if we are constructing a long box spread using the June 50 and 55 options?
|
A. $76 |
||
|
B. $484 |
||
|
C. $2,018 |
||
|
D. $500 |
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