TranscribedText: Intel is currently trading at $34.69, interest rates are currently 5.3%, and 1.5 year call options on Intel with a strike of $37 are trading at an implied vol of 41%. Suppose you have 1500 shares of Intel. (a) What is the current value of the position and the sensitivity of your position to moves of Intel? (b) How many 1.5 year call options struck at $37 should you write so that your sensi- tivity to moves of Intel becomes zero? (c) After writing the calls necessary to eliminate your delta, what are your positions, their market values and the total value of your portfolio? (d) After putting on the position from the previous part, what would the loss be if the stock moves up 15.0% and what would be the loss if the stock moves down 15.0%

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Intel is currently trading at $34.69, interest rates are currently 5.3%, and 1.5 year call options on Intel with a strike of $37 are trading at an implied vol of 41%. Suppose you have 1500 shares of Intel. (a) What is the current value of the position and the sensitivity of your position to moves of Intel? (b) How many 1.5 year call options struck at $37 should you write so that your sensi- tivity to moves of Intel becomes zero? (c) After writing the calls necessary to eliminate your delta, what are your positions, their market values and the total value of your portfolio? (d) After putting on the position from the previous part, what would the loss be if the stock moves up 15.0% and what would be the loss if the stock moves down 15.0% Intel is currently trading at $34.69, interest rates are currently 5.3%, and 1.5 year call options on Intel with a strike of $37 are trading at an implied vol of 41%. Suppose you have 1500 shares of Intel. (a) What is the current value of the position and the sensitivity of your position to moves of Intel? (b) How many 1.5 year call options struck at $37 should you write so that your sensi- tivity to moves of Intel becomes zero? (c) After writing the calls necessary to eliminate your delta, what are your positions, their market values and the total value of your portfolio? (d) After putting on the position from the previous part, what would the loss be if the stock moves up 15.0% and what would be the loss if the stock moves down 15.0%

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a Current Value of the Position and Sensitivity to Moves in Intel Current value of the 1500 shares o... View the full answer