Study Toolsonscess Tipscess TipspackThe following graph shows the contingency graph for sellers of euro call options, with a premium of $0.02 and an exercise price of $1.48.NET PROFIT PERUNT (Delars per un0.030.02 O0.01-001600-0.0114 145 180 182 154 155 156 180 182FUTURE SPOT RATE (Dollars per euro)?According to the graph, if the spot rate turns out to be $1.50, and the option is exercised, the seller willAccording to the graph, break-even price isper unit.

Selling a call option, also known as writing a call option, is a strategy in options trading where…

The following graph shows the contingency graph for sellers of euro call options, with a premium of $0.02 and an exercise price of $1.48. NET PROFIT PERUNT (Dollars per und 0.03 0.00 O 0.01 403 The 140 180 182 154 155 184 180 182 FUTURE SPOT RATE (Dolars per eufo) According to the graph, if the spot rate turns out to be $1.50, and the option is exercised, the seller will According to the graph, break-even price is per unit.

The following graph shows the contingency graph for sellers of euro call options, with a premium of $0.02 and an exercise price of $1.48. NET PROFIT PERUNT (Dollars per und 0.03 0.00 O 0.01 403 The 140 180 182 154 155 184 180 182 FUTURE SPOT RATE (Dolars per eufo) According to the graph, if the spot rate turns out to be $1.50, and the option is exercised, the seller will According to the graph, break-even price is per unit.

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

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A put option is available for Swiss franc with an exercise price of AUD0.7754 and a premium of AUD0.0440. Assume that there are no brokerage fees. The future spot rate at which the _____________ of the option breaks even is AUD____________ . a. both buyer and seller; AUD 0.7314 b. seller; AUD 0.7314 c. buyer; AUD 0.8194 d. both buyer and seller; AUD 0.8194 e. buyer; AUD 0.7314
You purchase a futures contract in euros for $170,000. The trading unit is 125,000 euros. What is the ratio of cents to euros in this contract? (Divide the dollar con- tract size by the size of the trading unit.) Assume you are required to put up $4,000 in margin and the euro increases by 3¢ (per euro). What will be your return as a percentage of margin?
As a dealer in currency, you buy put option on euros. The written strike price on the option of $1.2000/€ at a premium of 1.75¢ per euro ($0.0175/€). The expiration date six months from now. The option is for €150,000. Calculate profit or loss should you exercise before maturity at a time when the euro is traded spot at the following: (a). $1.15/€ (b). $1.20/€ (c). $1.30/€ (d). $1.40/€
Assume the spot Swiss franc is $0.7015 and the six-month forward rate is $0.6980. What is the Value of a six-month call and a put option with a strike price of $0.6815 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3.50 percent. Assume the annualized volatility of the Swiss franc is 14.20 percent. Use the European option-pricing models to value the call and put option. This problem can be solved using the FXOPM.xls spreadsheet. (Do not round intermediate calculations. Round your answers to 2 decimal places.)
What is the gamma of a European call option with the following parameters? As a reminder, gamma is defined as the first derivative of delta with respect to the stock price, or alternatively as the second derivative of the option price with respect to the stock price. s0 = $40k = $40 r = 10%sigma = 20%T = 0.75 years In order to avoid precision issues with Excel, please use an epsilon of 0.0001. (required precision 0.0001 +/- 0.0002) Greeks Reference Guide: Delta = ∂π/∂S Theta = ∂π/∂t Gamma = (∂2π)/(∂S2) Vega = ∂π/∂σ Rho = ∂π/∂r
What is the rho of a European put option with the following parameters? As a reminder, rho is defined as the first derivative of the option price with respect to the risk free rate. s0 = $40k = $39 r = 10%sigma = 20%T = 0.75 years (required precision 0.01 +/- 0.01) Greeks Reference Guide: Delta = ∂π/∂S Theta = ∂π/∂t Gamma = (∂2π)/(∂S2) Vega = ∂π/∂σ Rho = ∂π/∂r
A trader takes a view that March KLSE CI futures which are currently trading at 1188.60 are about to enter a downtrend. Should the trader go long or short futures. Assuming the trader maintains their original position until expiry and the cash settlement price is 1185.40, what will be the profit or loss? The contract size is RM50 per contract.
A speculator purchases a put option on British Pounds for 0.05$ per unit; the strike price is 1.50$. A pound option represents 31.250 units Assume that at the time of the purchase, the spot rate of the pound is 151$ and continually rises to 1.62$ by the expiration date. 1. Compute the highest net profit possible for the speculator based on the information above? 2. Compute the highest profit/loss for the seller of this put option
Counterparty A can borrow from the floating rate market at LIBOR + 0.5% and Counterparty B can borrow from the Eurobond market at 7%. If Counterparty A pays 7.35% into the swap and Counterparty B pays the LIBOR rate plus 0.5% into the swap, then the overall cost to borrow by Counterparty B is: a. 7.85% b. LIBOR + 0.5% С. 7% d. LIBOR + 7.5% е. 7.35%
Wesfarmers has developed the following probability distribution for the spot rate of the Indian rupee (INR) against the Australian dollar (A$) in six months to buy call options on INR1.50 million with an exercise price of A$0.3169 and a premium of A$0.0383. A$0.2406 [39 per cent probability] A$0.4580 [31 per cent probability] A$0.5743 [(100-39-31) per cent probability] What is the expected value of the cash to be paid in A$ for the call option hedge?
Calculate Duolingo’s underpricing if the offer price equals $102 and the closing price on the first trading day equals $134.26.
Demonstrate how a margin account operates for both the long and the short futures position using the following information ( you do not need to adjust the values given for contract size or number of contracts) The initial margin is R30 The initial future price is R100 On day 1 the price drops to R90 On day 2 the price rises to R95. Fill in the correct monetary values for the margin account values (a) through to (f) in your answer booklet.Take care to show the signs (negative and positive) of your cash flows

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