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Matt Owns 5,000 Share of Matrix at $52

Question 3

Multiple Choice

Matt owns 5,000 share of Matrix at $52.50.To arbitrage this he shorts 5,000 calls and longs 5,000 puts at a strike of $50.00.Assume Matt owns 5,000 share of Matrix at $52.50.To arbitrage this he shorts 5,000 calls and longs 5,000 puts at a strike of $50.00.Assume = 0.16,σ = 0.30,rf = 0.06,and the options expire in 170 days.What is the value at risk for 1 week at a 95% confidence level? A) $0 B) $16,433 C) $18,433 D) $20,433 = 0.16,σ = 0.30,rf = 0.06,and the options expire in 170 days.What is the value at risk for 1 week at a 95% confidence level?


A) $0
B) $16,433
C) $18,433
D) $20,433

Correct Answer:

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