A portfolio has two options: Option A is short call with a gamma of 0.1 and option B is a long put with gamma 0.3. Option A is to buy 100 shares and option B is to sell 100 shares. The portfolio is also long 100 shares. What is the position gamma of the portfolio? -40 -20 20 120
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A portfolio has two options: Option A is short call with a gamma of 0.1 and option B is a long put with gamma 0.3. Option A is to buy 100 shares and option B is to sell 100 shares. The portfolio is also long 100 shares. What is the position gamma of the portfolio?
-40
-20
20
120
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- A portfolio of derivatives on a stock has a delta of 2400 and a gamma of –10. An option on the stock with a delta of 0.5 and a gamma of 0.04 can be traded. What position in the option is necessary to make the portfolio gamma neutral? Long/Short and how many options and why?Data: S0 = 102; X = 115; 1 + r = 1.1. The two possibilities for ST are 146 and 84. Required: The range of S is 62 while that of P is 31 across the two states. What is the hedge ratio of the put? Form a portfolio of one share of stock and two puts. What is the (nonrandom) payoff to this portfolio? What is the present value of the portfolio? Given that the stock currently is selling at 102, calculate the put value.You have a portfolio of options on the same underlying as follows. Each option controls 100 shares. Long 1 call ∆ ±0.5 Short 5 calls ∆ ±0.8 Short 2 puts ∆ ±0.4 b) A traded option exists with a ∆ 0.45. This option controls 100 shares. What position in this traded option would make your portfolio delta neutral?
- You have a portfolio of options on the same underlying as follows. Each option controls 100 shares. Long 1 call ∆ ±0.5 Short 5 calls ∆ ±0.8 Short 2 puts ∆ ±0.4 a) How many shares would you need to buy or sell to get your portfolio delta neutral?A portfolio has three stocks. Their portfolio weights and expected returns are as follows. Weight E(r) Stock A 0.4 22% Stock B 0.4 4% Stock C 0.2 -18% What is the expected return on the portfolio?Let S = $100, K = $95, \sigma = 30%, r = 8%, T = 1, and \delta = 0. For simplicity, let u = 1.3, d = 0.8 and n = 2 (that is, 2 periods). When constructing the binomial tree for the European call option, what is A (Stock Share Purchased in the replicating portfolio) at the first node (Time 0)? Question 11 options: 0.1789 0.3886 1.0000 0.2550 0.6912
- A stock portfolio has the following returns under the market conditions listed below. Market Condition Probability Return Bull 0.4 $ 200 Stable 0.3 $100 Bear 0.3 - $100 Referring to Scenario 20-4, what is the EMV?Consider three scenarios with the probabilities given below. Let the returns on two different stocks in these scenarios be as follows: Scenario Probability return K1 return K2 Wi 0.2 -10% -30% W2 0.5 0% 20% W3 0.3 10% 50% If a portfolio has 60% of funds invested in stock 1 and 40% of funds invested in stock 2, find the risk oy for this portfolio.Consider the following portfolio. You write a put option with exercise price 90 and buy a put option on the same stock with the same expiration date with exercise price 95.a. Plot the value of the portfolio at the expiration date of the options.b. On the same graph, plot the profit of the portfolio. Which option must cost more?
- How do I calculate the Portfolio Expected Return: You own a portfolio that has $4,600 invested in Stock X and $5,200 invested in Stock Z. What is the expected return on the portfolio if the expected returns on these stocks are 9.75 percent and 16.50 percent?Data: So=102; X = 115; 1 + r=1.1. The two possibilities for ST are 146 and 84. Required: a. The range of S is 62 while that of P is 31 across the two states. What is the hedge ratio of the put? b. Form a portfolio of one share of stock and two puts. What is the (nonrandom) payoff to this portfolio? c. What is the present value of the portfolio? d. Given that the stock currently is selling at 102, calculate the put value. × Answer is not complete. Complete this question by entering your answers in the tabs below. Required A Required B Required C Required D What is the present value of the portfolio? Note: Round your answer to 2 decimal places. Present value $ 146.00 xYou are given the following information about a portfolio consisting of stocks X, Y, and Z: Stock Investment Expected Return X 10,000 8% Y 15,000 12% 25,000 16% Calculate the expected return of the portfolio.
