The following are historical corn options data for November 30, 2018: Strike Price (cents/bu)_ 360 365 370 375 380 385 390 Mar 2019 O neither put or call options. O call options. 4-4 put options. 6-2 8-4 11-2 14-4 18-0 Mar 2019 Futures Close = 374-4 21-6 After observing this data, one can say that these are

The following are historical corn options data for November 30, 2018: Strike Price (cents/bu)_ 360 365 370 375 380 385 390 Mar 2019 O neither put or call options. O call options. 4-4 put options. 6-2 8-4 11-2 14-4 18-0 Mar 2019 Futures Close = 374-4 21-6 After observing this data, one can say that these are

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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The following are call option premiums and futures settlement prices for ICE cotton. These prices were quoted on December 16th, 200X. These prices are used in problems 25 through 29 (recopied here for your convenience). Strike Price (cents/lb)__ 48.00 49.00 50.00 51.00 52.00 53.00 Futures close 1.98. 0 0 1.98 O 0.60 1.38 ***** O 1.38.... 0.60 Mar-OX QUESTION - For the March-OX option with a strike price of 49.00, the intrinsic value is the time value is none of the above 2.56 1.98 1.48 1.09 .78 55 49.60 May-OX 6.14 5.33 4.59 3.92 3.31 2.74 53.69 and
Given the following information for December 24 corn futures, identify the "In the Money", "At The Money", and "Out of the Money" 22 puts and Calls. The December 24 futures price is $4.71. Also, calculate the intrinsic and extrinsic values of the premiums. 24 25 26 27 28 29 30 31 32 33 34 35 36 37 \table[[Strike,Premium],[Prices,Puts,Monies],[5.2,0.655,Out],[5.1,0.583,In],[5,0.513,At],[4.9,0.447,Out],[4.8,0.386,],[4.7,0.33,],[4.6,0.276,],[4.5,0.227,],[4.4,0.185,],[4.3,0.147,]] \table[[Puts,,],[Intrinsic,Extrinsic,Calls],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,]]
The following are call option premiums and futures settlement prices for ICE cotton. These prices were quoted on December 16th, 200X. These prices are used in problems 25 through 29 (recopied here for your convenience). Strike Price (cents/lb)_ 48.00 49.00 50.00 51.00 52.00 53.00 Futures close 6 18 12 24 Mar-OX none of the above. 2.56 1.98 1.48 1.09 .78 .55 49.60 May-OX QUESTION - Based on the above price data, there are. represented among both the Mar-OX and May-OX contracts. 6.14 5.33 4.59 3.92 3.31 2.74 53.69 individual options contracts being
Maturity (days) Strike 66 Part1: SO 620 595.9355586 ● r (annualized) O 0.056329721 11% Option Type Call Use the data you are provided with on blackboard to replicate and interpret the following figures Call price as a function of the current underlying price S0 or put price as a function of the current underlying price SO depending on the data assigned to you. Carefully interpret the figures. Make sure you are not simply describing the figures but that you are answering the question of why we observe the pattern
Backwardation and Contango In January 5th of 2018, you took a short postion on 100 Feeder Cattle futures contracts that mature in Septemeber 2018. The maintenance margin is 60% of the contract size (= 148.05 * 100 * 60%) and if your margin goes below the maintenance margin you will get a margin call. Determine the following: 1) Based on futures prices in January 5th, what is the market's expectation on future price movements of cattle spots? 2) Based on your position, are you a hedger or a speculator? 3) As of at the end of Apr 2018, is the position profitable? 4) Did you have any margin call before the end of April? (see attached Image)
Suppose you sell six September 2020 palladium futures contracts this day at the last price of the day. Use Table 23.1. a. What will your profit or loss be if palladium prices turn out to be $2,034.50 per ounce at expiration? (Do not round intermediate calculations and enter your answer as a positive value rounded to 2 decimal places, e.g., 32.16.) b. What will your profit or loss be if palladium prices are $1,977.50 per ounce at expiration? (Do not round intermediate calculations and enter your answer as a positive value rounded to the nearest whole number, e.g., 32.) a. Loss b. Profit Answer is not complete. 6,200
What is the appropriate risk-free rate on May 11, 2022 for an option that expires on Oct 20, 2022 if the T-bill with closest maturity is quoted as 3.65/3.44? a. What is the un-annualized discount rate? Round your answer to two decimals. b. What is the T-bill price? Round your answer to two decimals b . What is the approximate risk-free rate? % Round your answer to two decimals
You placed $120,000 in your future trading account have just bought your first HSI June 2023 futures contract today @ 19,652, at market close the HSI June 2023 future closed at 19,534. Currently the initial margin for HSI is $101,944, the maintenance margin is $81,555. HSI futures is $50 per index point. What is you margin account balance as of market closed today? Please write out the detailed calculation steps
Use the option quote information shown here to answer the questions that follow. The stock is currently selling for $73. Option and NY Close RWJ Expiration Strike Price March April July October a-1. Are the call options in the money? Out O In 68 68 68 68 Intrinsic value Volume 243 183 152 73 Calls Last 4.50 10.35 11.20 12.10 Puts Volume 173 140 56 24 Last 4.60 9.35 12.80 11.75 a-2. What is the intrinsic value of an RWJ Corporation call option? (Do not round intermediate calculations and round your answer to the nearest whole number, e.g., 32.)
Consider two put options on different stocks. The table below reports the relevant information for both options: Put optionTime to maturityCurrent price of underlying stockStrike priceVolatility ( )X1 year$27$1830%Y1 year$25$2030%All else equal, which put option has a lower premium? A.Put option Y B.Put option X
In January 5th of 2018, you took a short position on 100 Feeder Cattle futures contracts that matures in September 2018. The maintenance margin is 60% of the contract size (= 148.05 * 100 * 60%) and if your margin goes below the maintenance margin you will get a margin call. Determine the following: 1) Based on futures prices in January 5th, what is the market’s expectation on future price movements of cattle spots? 2) Based on your position, are you a hedger or a speculator? 3) As of at the end of Apr 2018, is this position profitable? 4) Did you have any margin calls before the end of April?
You find the following information in December 2019. Assume the T-bill maturity and futures delivery are on the same day. Ignore transactions costs. Treasury Bill Maturity DTM Bid Asked Mar 20 90 1.19 1.18 Index Futures S&P 500 Index (CME) – 250 x index, cents per unit Open High Low Settle Mar 20 3324 3326 3320 3322 S&P 500 closed at $3329 on the same day. Suppose that if you buy one unit of S&P 500 index today, you will be entitled to a 2% dividend yield in March. Design a zero net investment arbitrage strategy involving: (1) buying the index for $3329, (2) shorting the futures for no cash now, (3) and borrowing $3329 at the spot rate. Show your profit per one futures contract (250 units of the index). a. $12,395 b. $10,114 c. $18,948 d. $11,639

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