39.
Volatility risk is
40.
Portfolio A consists of 150 shares of stock and 300 calls on that stock. Portfolio B consists
of 575 shares of stock. The call delta is 0.7. Which portfolio has a higher dollar exposure to
a change in stock price?
41.
Portfolio A consists of 500 shares of stock and 500 calls on that stock. Portfolio B consists
of 800 shares of stock. The call delta is 0.6. Which portfolio has a higher dollar exposure to
a change in stock price?
42.
Portfolio A consists of 400 shares of stock and 400 calls on that stock. Portfolio B consists
of 500 shares of stock. The call delta is 0.5. Which portfolio has a higher dollar exposure to
a change in stock price?
43.
Portfolio A consists of 600 shares of stock and 300 calls on that stock. Portfolio B consists
of 685 shares of stock. The call delta is 0.3. Which portfolio has a higher dollar exposure to
a change in stock price?
44.
A portfolio consists of 100 shares of stock and 1500 calls on that stock. If the hedge ratio
for the call is 0.7, what would be the dollar change in the value of the portfolio in response
to a $1 decline in the stock price?
45.
A portfolio consists of 800 shares of stock and 100 calls on that stock. If the hedge ratio
for the call is 0.5. What would be the dollar change in the value of the portfolio in response
to a $1 decline in the stock price?
46.
A portfolio consists of 225 shares of stock and 300 calls on that stock. If the hedge ratio
for the call is 0.4, what would be the dollar change in the value of the portfolio in response
to a $1 decline in the stock price?
47.
A portfolio consists of 400 shares of stock and 200 calls on that stock. If the hedge ratio
for the call is 0.6, what would be the dollar change in the value of the portfolio in response
to a $1 decline in the stock price?
48.
If the hedge ratio for a stock call is 0.30, the hedge ratio for a put with the same expiration
date and exercise price as the call would be
49.
If the hedge ratio for a stock call is 0.50, the hedge ratio for a put with the same expiration
date and exercise price as the call would be
50.
If the hedge ratio for a stock call is 0.60, the hedge ratio for a put with the same expiration
date and exercise price as the call would be
51.
If the hedge ratio for a stock call is 0.70, the hedge ratio for a put with the same expiration
date and exercise price as the call would be
52.
A put option is currently selling for $6 with an exercise price of $50. If the hedge ratio for
the put is -0.30 and the stock is currently selling for $46, what is the elasticity of the put?
53.
A put option on the S&P 500 Index will best protect a portfolio
54.
Higher dividend payout policies have a __________ impact on the value of the call and a
__________ impact on the value of the put compared to lower dividend payout policies.
55.
Lower dividend payout policies have a __________ impact on the value of the call and a
__________ impact on the value of the put compared to higher dividend payout policies.
56.
A $1 decrease in a call option’s exercise price would result in a(n) __________ in the call
option’s value of __________ one dollar.
57.
Which one of the following variables influence the value of call options?
I) Level of interest rates
II) Time to expiration of the option
III) Dividend yield of underlying stock
IV) Stock price volatility
58.
Which one of the following variables influence the value of put options?
I) Level of interest rates
II) Time to expiration of the option
III) Dividend yield of underlying stock
IV) Stock price volatility
59.
An American call option buyer on a nondividend paying stock will
60.
Relative to European puts, otherwise identical American put options
61.
Use the two-state put option value in this problem.
SO
= $100;
X
= $120; the two
possibilities for
ST
are $150 and $80. The range of
P
across the two states is _____ the
hedge ratio is _______.
62.
Use the Black-Scholes option pricing model for the following problem. Given:
SO
= $70;
X
= $70;
T
= 70 days;
r
= 0.06 annually (0.0001648 daily); σ = 0.020506 (daily). No
dividends will be paid before option expires. The value of the call option is
63.
Empirical tests of the Black-Scholes option pricing model
64.
Options sellers who are delta-hedging would most likely
65.
An American-style call option with six months to maturity has a strike price of $35. The
underlying stock now sells for $43. The call premium is $12.
What is the intrinsic value of the call?
66.
An American-style call option with six months to maturity has a strike price of $35. The
underlying stock now sells for $43. The call premium is $12.
What is the time value of the call?
67.
An American-style call option with six months to maturity has a strike price of $35. The
underlying stock now sells for $43. The call premium is $12.
If the option has delta of .5, what is its elasticity?
68.
An American-style call option with six months to maturity has a strike price of $35. The
underlying stock now sells for $43. The call premium is $12.
If the company unexpectedly announces it will pay its first-ever dividend three months
from today, you would expect that