Question

In: Finance

The S&P 500 index is currently at $2,000. The one-year $1,900-strike European call option on the...

  1. The S&P 500 index is currently at $2,000. The one-year $1,900-strike European call option on the index is quoted at $191. The one-year $1,900-strike European put option on the index is quoted at $58.

    1. (a) If you are long a 1-year forward on the index with a delivery price of $1,900, what should be the current value of your forward position?

Solutions

Expert Solution

If you are long a 1-year forward on the index with a delivery price of $1,900, what should be the current value of your forward position?

=2000+58-191
=1867.00

jeff jeffy answered 2 years ago
Next > < Previous

Related Solutions

The S&P 500 index is currently at $2,000. The one-year $1,900-strike European call option on the...
The S&P 500 index is currently at $2,000. The one-year $1,900-strike European call option on the index is quoted at $191. The one-year $1,900-strike European put option on the index is quoted at $58 What is the current intrinsic value ( ) and time value ( ) for the call option? What is the current intrinsic value ( ) and time value ( ) for the put option?
S&P 500 Index is at 2780. A European June 21, 2019 SPX call option struck at...
S&P 500 Index is at 2780. A European June 21, 2019 SPX call option struck at 2500 is trading at $316.94. An identical put is trading at $55.15. A T-bill with 200 days to maturity is quoted at a yield of 2.46. From the T-bill, calculate the discount factor Use the discount factor from part a to check the lower-bound condition for the call and the put Use the discount factor from part a to check put-call parity. Design a...
Depoul'' financial company purchased a call option on thr S&P 500 index expiring in one year...
Depoul'' financial company purchased a call option on thr S&P 500 index expiring in one year permuim is quoted at 20. the exercise price of the option is 1300 and the current price of the assume the index declines by 5% in the first quarter , then increase by 3 % in each of the follwing , what is the net gain or loss of this transaction ? hint: multiply index by 250$ to find the contract).
The National Stock Index is currently 573.70. A European call option, written on the index, with...
The National Stock Index is currently 573.70. A European call option, written on the index, with strike 545.00, matures in 10 months. The index pays dividends at a rate of 1.00%, and has volatility 25.00%. The (continuously compounded) interest rate is 9.30%. What is the option's gamma?
Suppose the value of the S&P 500 Stock Index is currently $3,350. a. If the one-year...
Suppose the value of the S&P 500 Stock Index is currently $3,350. a. If the one-year T-bill rate is 4.6% and the expected dividend yield on the S&P 500 is 4.2%, what should the one-year maturity futures price be? (Do not round intermediate calculations. Round your answer to 2 decimal places.) b. What would the one-year maturity futures price be, if the T-bill rate is less than the dividend yield, for example, 3.2%? (Do not round intermediate calculations. Round your...
A. A six-month S&P 500 index call option has an exercise price of 1,500. The holder...
A. A six-month S&P 500 index call option has an exercise price of 1,500. The holder of the option exercises the call when the index is at 1,520. The settlement procedure for the S&P 500 index option requires the writer of the option to ____________ to the holder of the option. a. deliver an S&P 500 index ETF b. make a payment of 20 times $100 c. make a payment of $1,520 d. make a payment of 1,520 times $10...
A one-month European call option on Bitcoin is with the strike price of $8,505, $8,705, and...
A one-month European call option on Bitcoin is with the strike price of $8,505, $8,705, and $8,905 are trading at $600, $500, and $415, respectively. An investor implements a butterfly spread (i.e., she buys one call with the strike price of $8,505, sells two calls with the strike price of $8,705, and buys one call with the strike price of $8,905. If at the maturity, the Bitcoin price is $8,605, what is the investor's profit?
Suppose the value of the S&P 500 Stock Index is currently $2,050. If the one-year T-bill...
Suppose the value of the S&P 500 Stock Index is currently $2,050. If the one-year T-bill rate is 5.5% and the expected dividend yield on the S&P 500 is 5.0%. a. What should the one-year maturity futures price be? (Do not round intermediate calculations.) Futures price            $ b. What would the one-year maturity futures price be, if the T-bill rate is less than the dividend yield, for example, 4.0%? (Do not round intermediate calculations.) Futures price   
If we write a European call option on €, the strike price is $1.2141/€. The option...
If we write a European call option on €, the strike price is $1.2141/€. The option premium is $0.0500/€. On the expiration date, the market spot price is $1.3262/€. Then__ A. The option is exercised, and we lose $0.0621/€. B. The option is not exercised, and we profit $0.0500/€ C. The option is exercised, and we lose $1.2762/€. D. The option is not exercised, and we profit $0.1121/€
Consider a European call option and a put option on a stock each with a strike...
Consider a European call option and a put option on a stock each with a strike price of K = $22 and each expires in six months. The price of call is C = $3 and the price of put is P = $4. The risk free interest rate is 10% per annum and current stock price is S0 = $20. Show how to create an arbitrage strategy and calculate the arbitrage traders profit.
ADVERTISEMENT
Subjects
ADVERTISEMENT
Latest Questions
ADVERTISEMENT