Exam 17: The Option Greeks

Explore all topics

You hold a straddle on a stock that you bought a month ago and that still has two months to expiry.Assume the options are European.An unexpected increase of $1 in the price of the stock

(Multiple Choice)

4.8/5

(69)

Question 21

A stock is trading at $24.A three-month European put option with a strike of $35 costs $10.855 and has a theta of 1.735.The passage of one trading day ( $\approx 0.004$ years)causes the value of the put to,approximately,

(Multiple Choice)

5.0/5

(92)

Question 22

A stock is trading at $80.You hold a delta-hedged portfolio in which you are short a call and long $\Delta$ units of the stock.The delta of the call is 0.65 and the gamma of the call is 0.06.If the stock registers an unexpected price decrease of $4,the value of your delta-hedged portfolio will

(Multiple Choice)

4.9/5

(85)

Question 23

You are short a put on $A B C$ stock and have delta-hedged yourself using the stock.The delta of the put is $- 0.71$ and the gamma of the put is $+ 0.04$ .If the price of the underlying registers an increase of $0.50,to maintain your delta-hedge,you must

(Multiple Choice)

4.8/5

(72)

Question 24

A stock is trading at $20.A one-month call with a strike of 19 is valued at $1.439 and has a rho of 1.09.An increase in interest rates of 10 basis points changes the call value to,approximately,

(Multiple Choice)

4.8/5

(91)

Question 25

A stock is trading at $20.A one-month put with a strike of 19 is valued at $0.360 and has a rho of $- 0.50$ .A decrease of 10 basis points in the interest rate changes the put value by

(Multiple Choice)

4.7/5

(80)

Question 26

You hold a portfolio of a long position in a call and a long position in a put,both for the same strike and maturity.Which of the following statements is true?

(Multiple Choice)

4.8/5

(86)

Question 27

Which of the following statements is true? Consider options written on a non-dividend-paying stock.

(Multiple Choice)

4.8/5

(86)

Question 28

The vega of a is highest when it is_.

(Multiple Choice)

4.8/5

(76)

Question 29

The delta of a call option is 0.6.The current price of the call is $5 and that of a put at the same strike is $4,and the stock is at $100.What is the approximate price of the put if the stock price increases to $100.50?

(Multiple Choice)

5.0/5

(91)

Question 30

Theta is always negative except possibly for certain

(Multiple Choice)

4.9/5

(74)

Question 31

The gamma of a put is typically highest when

(Multiple Choice)

4.7/5

(77)

Question 32

The current price of a call is $5 and the stock is trading at $50.The delta and gamma of the call are 0.5 and 0.05,respectively.If the stock price increases to $50.50,then approximate the new call price using the information given:

(Multiple Choice)

4.9/5

(75)

Question 33

Which of the following is NOT valid about the time decay of European put and call options with the same strike and maturity?

(Multiple Choice)

4.9/5

(78)

Question 34

You expect a sizable jump in the stock price but are not sure of the direction in which the stock will go.Which of the following alternatives would be best?

(Multiple Choice)

4.9/5

(87)

Question 35

Showing 21 - 35 of 35

Exam 17: The Option Greeks

You hold a straddle on a stock that you bought a month ago and that still has two months to expiry.Assume the options are European.An unexpected increase of $1 in the price of the stock

A stock is trading at $24.A three-month European put option with a strike of $35 costs $10.855 and has a theta of 1.735.The passage of one trading day ( ≈0.004\approx 0.004≈0.004 years)causes the value of the put to,approximately,

A stock is trading at $80.You hold a delta-hedged portfolio in which you are short a call and long Δ\DeltaΔ units of the stock.The delta of the call is 0.65 and the gamma of the call is 0.06.If the stock registers an unexpected price decrease of $4,the value of your delta-hedged portfolio will

You are short a put on ABCA B CABC stock and have delta-hedged yourself using the stock.The delta of the put is −0.71- 0.71−0.71 and the gamma of the put is +0.04+ 0.04+0.04 .If the price of the underlying registers an increase of $0.50,to maintain your delta-hedge,you must

A stock is trading at $20.A one-month call with a strike of 19 is valued at $1.439 and has a rho of 1.09.An increase in interest rates of 10 basis points changes the call value to,approximately,

A stock is trading at $20.A one-month put with a strike of 19 is valued at $0.360 and has a rho of −0.50- 0.50−0.50 .A decrease of 10 basis points in the interest rate changes the put value by

You hold a portfolio of a long position in a call and a long position in a put,both for the same strike and maturity.Which of the following statements is true?

Which of the following statements is true? Consider options written on a non-dividend-paying stock.

The vega of a ________ is highest when it is_________.

The delta of a call option is 0.6.The current price of the call is $5 and that of a put at the same strike is $4,and the stock is at $100.What is the approximate price of the put if the stock price increases to $100.50?

Theta is always negative except possibly for certain

The gamma of a put is typically highest when

The current price of a call is $5 and the stock is trading at $50.The delta and gamma of the call are 0.5 and 0.05,respectively.If the stock price increases to $50.50,then approximate the new call price using the information given:

Which of the following is NOT valid about the time decay of European put and call options with the same strike and maturity?

You expect a sizable jump in the stock price but are not sure of the direction in which the stock will go.Which of the following alternatives would be best?

Overview

Futures Markets

Pricing Forwards and Futures I

Pricing Forwards Futures II

Hedging With Futures Forwards

Interest-Rate Forwards Futures

Options Markets

Options: Payoffs Trading Strategies

No-Arbitrage Restrictions

Early-Exercise/Put-Call Parity

Option Pricing: An Introduction

Binomial Option Pricing

Implementing the Binomial Model

The Black-Scholes Model

Mathematics of Black-Scholes

Beyond Black-Scholes

Path-Independent Exotic Options

Exotic Options II: Path-Dependent Options

Value at Risk

Swaps and Floating Rate Products

Equity Swaps

Currency and Commodity Swaps

Term Structure of Interest Rates: Concepts

Estimating the Yield Curve

Modeling Term Structure Movements

Factor Models of the Term Structure

The Heath-Jarrow-Morton Hjmand Libor Market Model LMM

Credit Derivative Products

Structural Models of Default Risk

Reduced-Form Models of Default Risk

Modeling Correlated Default

Filters

A stock is trading at $24.A three-month European put option with a strike of $35 costs $10.855 and has a theta of 1.735.The passage of one trading day ( $\approx 0.004$ years)causes the value of the put to,approximately,

A stock is trading at $80.You hold a delta-hedged portfolio in which you are short a call and long $\Delta$ units of the stock.The delta of the call is 0.65 and the gamma of the call is 0.06.If the stock registers an unexpected price decrease of $4,the value of your delta-hedged portfolio will

You are short a put on $A B C$ stock and have delta-hedged yourself using the stock.The delta of the put is $- 0.71$ and the gamma of the put is $+ 0.04$ .If the price of the underlying registers an increase of $0.50,to maintain your delta-hedge,you must

A stock is trading at $20.A one-month put with a strike of 19 is valued at $0.360 and has a rho of $- 0.50$ .A decrease of 10 basis points in the interest rate changes the put value by

The vega of a is highest when it is_.