Question 1

Delta is defined as

Accepted Answer

A) the change in the value of an option for a dollar change in the price of the underlying asset. 
B) the change in the value of the underlying asset for a dollar change in the call price. 
C) the percentage change in the value of an option for a one percent change in the value of the underlying asset. 
D) the change in the volatility of the underlying stock price. 
E) none of the above. 
A) the change in the value of an option for a dollar change in the price of the underlying asset. 
B) the change in the value of the underlying asset for a dollar change in the call price. 
C) the percentage change in the value of an option for a one percent change in the value of the underlying asset. 
D) the change in the volatility of the underlying stock price. 
E) none of the above.

Question 2

What is the time value of the call?

Accepted Answer

A) $8 
B) $12 
C) $0 
D) $4 
E) cannot be determined without more information. 
A) $8 
B) $12 
C) $0 
D) $4 
E) cannot be determined without more information.

Question 3

What is the intrinsic value of the call?

Accepted Answer

A) $12 
B) $8 
C) $0 
D) $23 
E) none of the above. 
A) $12 
B) $8 
C) $0 
D) $23 
E) none of the above.

Question 4

A hedge ratio for a put is always

Accepted Answer

A) equal to one. 
B) greater than one. 
C) between zero and one. 
D) between minus one and zero. 
E) of no restricted value. 
A) equal to one. 
B) greater than one. 
C) between zero and one. 
D) between minus one and zero. 
E) of no restricted value.

Question 5

The elasticity of a stock put option is always

Accepted Answer

A) positive. 
B) smaller than one. 
C) negative. 
D) infinite. 
E) none of the above. 
A) positive. 
B) smaller than one. 
C) negative. 
D) infinite. 
E) none of the above.

Question 6

The time value of a put option is
I.the difference between the option's price and the value it would have if it were expiring immediately.
II.the same as the present value of the option's expected future cash flows.
III.the difference between the option's price and its expected future value.
IV.different from the usual time value of money concept.

Accepted Answer

A) I 
B) I and II 
C) II and III 
D) II 
E) I and IV 
A) I 
B) I and II 
C) II and III 
D) II 
E) I and IV

Question 7

Other things equal,the price of a stock call option is positively correlated with the following factors except

Accepted Answer

A) the stock price. 
B) the time to expiration. 
C) the stock volatility. 
D) the exercise price. 
E) none of the above. 
A) the stock price. 
B) the time to expiration. 
C) the stock volatility. 
D) the exercise price. 
E) none of the above.

Question 8

Lower dividend payout policies have a __________ impact on the value of the call and a __________ impact on the value of the put compared to higher dividend payout policies.

Accepted Answer

A) negative, negative 
B) positive, positive 
C) positive, negative 
D) negative, positive 
E) zero,zero 
A) negative, negative 
B) positive, positive 
C) positive, negative 
D) negative, positive 
E) zero,zero

Question 9

Before expiration,the time value of an at the money put option is always

Accepted Answer

A) equal to zero. 
B) equal to the stock price minus the exercise price. 
C) negative. 
D) positive. 
E) none of the above. 
A) equal to zero. 
B) equal to the stock price minus the exercise price. 
C) negative. 
D) positive. 
E) none of the above.

Question 10

The dollar change in the value of a stock call option is always

Accepted Answer

A) lower than the dollar change in the value of the stock. 
B) higher than the dollar change in the value of the stock. 
C) negatively correlated with the change in the value of the stock. 
D) B and C. 
E) A and C. 
A) lower than the dollar change in the value of the stock. 
B) higher than the dollar change in the value of the stock. 
C) negatively correlated with the change in the value of the stock. 
D) B and C. 
E) A and C.

Delta is defined as

What is the time value of the call?

What is the intrinsic value of the call?

A hedge ratio for a put is always

The elasticity of a stock put option is always

Other things equal,the price of a stock call option is positively correlated with the following factors except

Lower dividend payout policies have a impact on the value of the call and a impact on the value of the put compared to higher dividend payout policies.

Before expiration,the time value of an at the money put option is always

The dollar change in the value of a stock call option is always

The Investment Environment

Asset Classes and Financial Instruments

How Securities are Traded

Mutual Funds and Other Investment Companies

Introduction to Risk,return,and the Historical Record

Risk Aversion and Capital Allocation to Risky Assets

Optimal Risky Portfolios

Index Models

The Capital Asset Pricing Model

Arbitrage Pricing Theory and Multifactor Models of Risk and Return

The Efficient Market Hypothesis

Behavioral Finance and Technical Analysis

Empirical Evidence on Security Returns

Bond Prices and Yields

The Term Structure of Interest Rates

Managing Bond Portfolios

Options Markets: Introduction

Option Valuation

Futures Markets

Futures, swaps, and Risk Management

Equity Valuation Models

Financial Statement Analysis

Portfolio Performance Evaluation

International Diversification

Hedge Funds

The Theory of Active Portfolio Management

Investment Policy and the Framework of the CFA Institute Appendices

Filters

Exam 21: Macroeconomic and Industry Analysis

Delta is defined as

What is the time value of the call?

What is the intrinsic value of the call?

A hedge ratio for a put is always

The elasticity of a stock put option is always

Other things equal,the price of a stock call option is positively correlated with the following factors except

Lower dividend payout policies have a __________ impact on the value of the call and a __________ impact on the value of the put compared to higher dividend payout policies.

Before expiration,the time value of an at the money put option is always

The dollar change in the value of a stock call option is always

The Investment Environment

Asset Classes and Financial Instruments

How Securities are Traded

Mutual Funds and Other Investment Companies

Introduction to Risk,return,and the Historical Record

Risk Aversion and Capital Allocation to Risky Assets

Optimal Risky Portfolios

Index Models

The Capital Asset Pricing Model

Arbitrage Pricing Theory and Multifactor Models of Risk and Return

The Efficient Market Hypothesis

Behavioral Finance and Technical Analysis

Empirical Evidence on Security Returns

Bond Prices and Yields

The Term Structure of Interest Rates

Managing Bond Portfolios

Options Markets: Introduction

Option Valuation

Futures Markets

Futures, swaps, and Risk Management

Equity Valuation Models

Financial Statement Analysis

Portfolio Performance Evaluation

International Diversification

Hedge Funds

The Theory of Active Portfolio Management

Investment Policy and the Framework of the CFA Institute Appendices

Filters

Lower dividend payout policies have a impact on the value of the call and a impact on the value of the put compared to higher dividend payout policies.