Suppose a 6-month maturity call option with exercise price $80 currently sells for $10. Consider a portfolio with $6000 invested in three at-the-money call contracts and $4000 in 6-month T-bills to earn 2% return. What's the portfolio return when the stock price becomes $115?

Answer rating: 100% (QA)

We can begin by calculating the number of call options we can purchase with 6000 Since each call opt... View the full answer