Exhibit 22.2 Use the Information Below for the Following Problem(S) \[\begin{array} { c} &&\text{XYZ CORP}\\ & \quad\quad\quad\quad \text { Exercise } & & \quad\quad\quad\quad\quad\quad { \text { NYSE } } \\ & \text { Date } & \text { Price } & \text { Price } & \text { Clase } \\ \hline \text { Calls } & \text { OCT } & 85 & 163 / 4 & 101\quad11 / 16 \\ & \text { OCT } & 90 & 12 & 101\quad11 / 16 \\ & \text { OCT } & 95 & 75 / 8 & 101\quad11 / 16 \\ \text { Puts } & \text { OCT } & 85 & 1 / 8 & 101\quad11 / 16 \\ & \text { OCT } & 90 & 3 / 8 & 101\quad11 / 16 \\ & \text { OCT } & 95 & 13 / 16 & 101\quad11 / 16 \end{array}\] -Refer to Exhibit 22.2.If you establish a long strip using the options with a 95 exercise price,what is your dollar gain or loss if at expiration XYZ is still trading at 101 11/16?

A) $256.25 loss B) $256.25 gain C) $925.00 loss D) $668.75 gain E) $668.75 loss A) $256.25 loss B) $256.25 gain C) $925.00 loss D) $668.75 gain E) $668.75 loss

Exhibit 22.1 Use the Information Below for the Following Problem(S) $\begin{array}{|l|c|l|l|l|} \hline \text { Option Type } & & \text { Currency } &{\text { Canadian dollar }} \\ \hline \text { Contract Size } & & 50000 & {\text { Canadian dollars }} \\ \hline \text { Expiry } & & \text { April } & & \\ \hline & & & & \\ \hline \text { Strike } & \text { Call } & \text { Put } & & \\ \hline \$ 0.815 & \$ 0.0118 & & & \\ \hline \$ 0.820 & & \$ 0.0068 & & \\ \hline \end{array}$ -Refer to Exhibit 22.1.How much must an investor pay for one put option contract?

A) $680 B) $815 C) $340 D) $625 E) $590 A) $680 B) $815 C) $340 D) $625 E) $590

Exhibit 22.4 Use the Information Below for the Following Problem(S) Consider the following information on put and call options for Citigroup \[\begin{array} { c c c } \text { otrike Price } & \text { Put Price } & \text { Call Price } \\ \hline\$ 32.50 & \$2.85 & \$1.65 \end{array}\] -Refer to Exhibit 22.4.Calculate the payoffs of a long strap at a stock price at expiration of $20 and a stock price at expiration of $45.

A) $6.35, $18.85 B) $29.65, $42.15 C) $21.65, $34.15 D) $8, $8 E) -$8, -$8 A) $6.35, $18.85 B) $29.65, $42.15 C) $21.65, $34.15 D) $8, $8 E) -$8, -$8

Exhibit 22.8 Use the Information Below for the Following Problem(S) Consider the following information on put and call options for a common stock \[\begin{array} { c c c } \text { Wtrike Price } & \text { Put Price } & \text { Call Price } \\ \hline \$22.50 &\$ 2.65 & \$ 1.85 \end{array}\] -Refer to Exhibit 22.8.Calculate the payoff of a short straddle at an expiration stock price of $20.

A) -$4.50 B) -$2.00 C) $2.00 D) $4.50 E) $20.50 A) -$4.50 B) -$2.00 C) $2.00 D) $4.50 E) $20.50

Exhibit 22.2 Use the Information Below for the Following Problem(S) \[\begin{array} { c} &&\text{XYZ CORP}\\ & \quad\quad\quad\quad \text { Exercise } & & \quad\quad\quad\quad\quad\quad { \text { NYSE } } \\ & \text { Date } & \text { Price } & \text { Price } & \text { Clase } \\ \hline \text { Calls } & \text { OCT } & 85 & 163 / 4 & 101\quad11 / 16 \\ & \text { OCT } & 90 & 12 & 101\quad11 / 16 \\ & \text { OCT } & 95 & 75 / 8 & 101\quad11 / 16 \\ \text { Puts } & \text { OCT } & 85 & 1 / 8 & 101\quad11 / 16 \\ & \text { OCT } & 90 & 3 / 8 & 101\quad11 / 16 \\ & \text { OCT } & 95 & 13 / 16 & 101\quad11 / 16 \end{array}\] -Refer to Exhibit 22.2.If you establish a long strap using the options with a 95 exercise price,what is your dollar gain or loss if at expiration XYZ is still trading at 101 11/16?

A) $81.25 loss B) $1,606.25 gain C) $1,606.25 loss D) $268.75 loss E) $268.75 gain A) $81.25 loss B) $1,606.25 gain C) $1,606.25 loss D) $268.75 loss E) $268.75 gain

Exhibit 22.8 Use the Information Below for the Following Problem(S) Consider the following information on put and call options for a common stock \[\begin{array} { c c c } \text { Wtrike Price } & \text { Put Price } & \text { Call Price } \\ \hline \$22.50 &\$ 2.65 & \$ 1.85 \end{array}\] -Refer to Exhibit 22.8.Calculate the net value of a protective put position at an expiration stock price of $20.

A) $2.85 B) $17.15 C) $19.85 D) $21.65 E) $22.85 A) $2.85 B) $17.15 C) $19.85 D) $21.65 E) $22.85

Exam 22: Option Contracts

Exhibit 22.6 Use the Information Below for the Following Problem(S) The following information is provided in the context of a two period (two six month periods) binomial option pricing model. A stock currently trades at $60 per share, a call option on the stock has an exercise price of $65. The stock is equally likely to rise by 15% or fall by 15% during each six month period. The one-year risk free rate is 3%. -Refer to Exhibit 22.6.Calculate the price of the call option today (C₀).

(Multiple Choice)

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Question 21

Exhibit 22.3 Use the Information Below for the Following Problem(S) A stock currently trades for $130 per share. Options on the stock are available with a strike price of $125. The options expire in 10 days. The risk free rate is 3% over this time period, and the expected volatility is 0.35. -Refer to Exhibit 22.3.Calculate the price of the put option.

(Multiple Choice)

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(73)

Question 22

You own a stock that has risen from $10 per share to $32 per share.You wish to delay taking the profit but you are troubled about the short run behavior of the stock market.An effective action on your part would be to

(Multiple Choice)

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(86)

Question 23

Exhibit 22.7 Use the Information Below for the Following Problem(S) GE Corporation has a put option selling for $2.90 and a call option selling for $1.95, both with a strike price of $29.00. -Refer to Exhibit 22.7.Which strategy is most appropriate for an investor who expects share prices to be volatile,but was inclined to be bullish?

(Multiple Choice)

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Question 24

The value of a call option is positively related to:

(Multiple Choice)

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Question 25

Exhibit 22.2 Use the Information Below for the Following Problem(S) XYZ CORP Exercise NYSE Date Price Price Clase Calls OCT 85 163/4 10111/16 OCT 90 12 10111/16 OCT 95 75/8 10111/16 Puts OCT 85 1/8 10111/16 OCT 90 3/8 10111/16 OCT 95 13/16 10111/16 -Refer to Exhibit 22.2.If you establish a long strip using the options with a 95 exercise price,what is your dollar gain or loss if at expiration XYZ is still trading at 101 11/16?

(Multiple Choice)

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(80)

Question 26

Exhibit 22.1 Use the Information Below for the Following Problem(S) Option Type Currency Canadian dollar Contract Size 50000 Canadian dollars Expiry April Strike Call Put \ 0.815 \ 0.0118 \ 0.820 \ 0.0068 -Refer to Exhibit 22.1.How much must an investor pay for one put option contract?

(Multiple Choice)

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Question 27

Exhibit 22.4 Use the Information Below for the Following Problem(S) Consider the following information on put and call options for Citigroup otrike Price Put Price Call Price \ 32.50 \2 .85 \1 .65 -Refer to Exhibit 22.4.Calculate the payoffs of a long strap at a stock price at expiration of $20 and a stock price at expiration of $45.

(Multiple Choice)

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Question 28

The underlying stock price and the value of the put option are factors that impact the value of an American call option.

(True/False)

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Question 29

Which of the following is not a factor needed to calculate the value of an American call option?

(Multiple Choice)

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(72)

Question 30

Index options are settled by delivery of the stocks that make up the index.

(True/False)

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(64)

Question 31

In the Black-Scholes model N(d₁)represents the

(Multiple Choice)

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Question 32

A money spread involves buying and selling call options in the same stock with

(Multiple Choice)

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Question 33

Exhibit 22.8 Use the Information Below for the Following Problem(S) Consider the following information on put and call options for a common stock Wtrike Price Put Price Call Price \2 2.50 \ 2.65 \ 1.85 -Refer to Exhibit 22.8.Calculate the payoff of a short straddle at an expiration stock price of $20.

(Multiple Choice)

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Question 34

The value of a call option is inversely related to:

(Multiple Choice)

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Question 35

Exhibit 22.2 Use the Information Below for the Following Problem(S) XYZ CORP Exercise NYSE Date Price Price Clase Calls OCT 85 163/4 10111/16 OCT 90 12 10111/16 OCT 95 75/8 10111/16 Puts OCT 85 1/8 10111/16 OCT 90 3/8 10111/16 OCT 95 13/16 10111/16 -Refer to Exhibit 22.2.If you establish a long strap using the options with a 95 exercise price,what is your dollar gain or loss if at expiration XYZ is still trading at 101 11/16?

(Multiple Choice)

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Question 36

There is an inverse relationship between the market interest rate and the value of a call option.

(True/False)

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Question 37

In the Black-Scholes option pricing model,an increase in the risk free rate (RFR)will cause

(Multiple Choice)

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Question 38

In the Black-Scholes option pricing model,an increase in time to expiration (T)will cause

(Multiple Choice)

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Question 39

Exhibit 22.8 Use the Information Below for the Following Problem(S) Consider the following information on put and call options for a common stock Wtrike Price Put Price Call Price \2 2.50 \ 2.65 \ 1.85 -Refer to Exhibit 22.8.Calculate the net value of a protective put position at an expiration stock price of $20.

(Multiple Choice)

4.8/5

(64)

Question 40

Exam 22: Option Contracts

You own a stock that has risen from $10 per share to $32 per share.You wish to delay taking the profit but you are troubled about the short run behavior of the stock market.An effective action on your part would be to

The value of a call option is positively related to:

Exhibit 22.1 Use the Information Below for the Following Problem(S) Option Type Currency Canadian dollar Contract Size 50000 Canadian dollars Expiry April Strike Call Put \ 0.815 \ 0.0118 \ 0.820 \ 0.0068 -Refer to Exhibit 22.1.How much must an investor pay for one put option contract?

The underlying stock price and the value of the put option are factors that impact the value of an American call option.

Which of the following is not a factor needed to calculate the value of an American call option?

Index options are settled by delivery of the stocks that make up the index.

In the Black-Scholes model N(d₁)represents the

A money spread involves buying and selling call options in the same stock with

The value of a call option is inversely related to:

There is an inverse relationship between the market interest rate and the value of a call option.

In the Black-Scholes option pricing model,an increase in the risk free rate (RFR)will cause

In the Black-Scholes option pricing model,an increase in time to expiration (T)will cause

An Overview of the Investment Process

The Asset Allocation Decision

The Global Market Investment Decision

Securities Markets: Organization and Operation

Security-Market Indexes

Efficient Capital Markets

An Introduction to Portfolio Management

An Introduction to Asset Pricing Models

Multifactor Models of Risk and Return

Analysis of Financial Statements

Security Valuation Principles

Macroanalysis and Microvaluation of the Stock Market

Industry Analysis

Company Analysis and Stock Valuation

Equity Portfolio Management Stragtegies

Technical Analysis

Bond Fundamentals

The Analysis and Valuation of Bonds

Bond Portfolio Management Strategies

An Introduction to Derivative Markets and Securities

Forward and Futures Contracts

Swap Contracts,convertible Securities,and Other Embedded Derivatives

Professional Money Management, alternative Assets, and Industry Ethics

Evaluation of Portfolio Performance

Investment Return and Risk Analysis Questions

Investment and Retirement Plans

Calculating Covariance and Correlation Coefficient of Assets

Portfolio Variance and Stock Weight Calculations

Portfolio Optimization with Negative Correlation: Finding Minimum Variance and Weight Allocation

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