Question

Answer the following questions:

Use the following info for problems 1 and 2

Stock price=$33.50
Risk free dividends=8.00%
Dividends=$0
Put premium=$0.50
Put delta=-0.181
Striking price=$30
Time until expiration in June=77 days
Volatility=33%
Call premium=$4.50
Call delta=0.819


1.)Suppose you own 10,000 shares of tis stock and you buy 50 of these Jun 30 puts (puts on 5,000 shares).What is your position delta.?

2.)If you have a position delta of zero, you are delta neutral. How many puts do you have to buy to become delta neutral? What would this cost?

Chapter 23 1,2 and 4

1.)The newspapers price for a T-bill futures contract is 93.33.What is the value of the T-bills promised at delivery based on this price?

2.)A speculator goes long for T-bill contracts at 93.34 and closes them out three weeks after at 93.40.Calcualte this persons gain or loss in dollar terms.

4.)A $ 10,000 T -bill comes due in eighty-eight days and sell for $ 9,800 calculate the following:
a.)the ask discount
b.)the bond equivalent yield.

Chapter 25 2

2.)You own 1,000 shares of XYZ and have purchased ten protective put contracts.The puts have a delta of -0.317
a.)What is your position delta?
b.)Instead of buying puts,how many of your shares should you sell short to achieve the same result?

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