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Chapter 15 Excel Application: Options, Stock, and Lending
1. Plot the rate of return to the call-plus-bills strategy (using a diagram like that in Figure
15.5), but now assuming the investor uses an in-the-money call option with a strike price
of $80. Assume the calls sell for $15. The higher cost for these calls compared to the at-
the-money calls will result in less money being placed in T-bills, since the investment
2. Compare the plots of rate of return for the strategies using at-the-money calls (as in
Figure 15.5) and your solution to question 1. Which strategy is riskier?
The all call options strategy is riskier for the at-the-money call options with a larger
