Suppose the premium on a 6 - month 9 5 0 - strike S&R call is $

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Question:

Suppose the premium on a

6 -

month

950 -

strike S&R call is $

120.41

and the premium on a put with the same strike price is $

51.78,

while the premium on a

6 -

month

1000 -

strike S&R call is $

93.809

and the premium on a put with the same strike price is $

74.201 .

In addition, the effective

6 -

month interest rate is

2 %,

and the S&R

6 -

month forward price is $

1, 020 .

You implement a strategy consisting of the purchase of a

950 -

strike S&R put and a sale of a

1000 -

strike S&R put. What is the profit or loss from the short

1000 -

strike S&R put position by itself at expiration

(

6

months

)

if the market index is $

800 ?

Posted Date: May 13, 2024 02:32 AM

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Suppose the premium on a 6 - month 9 5 0 - strike S&R call is $

Question:

Expert Answer:

To calculate the profit or loss from the short 1000strike SR put position at expiration we need to c... View the full answer

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