A stock is currently trading at $22.50. The delta of an at-the-money call on the stock is
Question:
A stock is currently trading at $22.50. The delta of an at-the-money call on the stock is +0.56 and the gamma is +0.035. If the stock price were to change to $22.25, by how much would the call price change (using the delta alone)? What is the approximate new value of the call delta?
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Answer rating: 0% (2 reviews)
Using the delta alone the call price wo...View the full answer
Answered By
Kainat Shabbir
i am an experienced qualified expert with a long record of success helping clients overcome specific difficulties in information technology, business and arts greatly increasing their confidence in these topics. i am providing professional services in following concerns research papers, term papers, dissertation writing, book reports, biography writing, proofreading, editing, article critique, book review, coursework, c++, java, bootstarp, database.
5.00+
184+ Reviews
255+ Question Solved
Related Book For
Question Posted:
Students also viewed these Engineering questions
-
KYC's stock price can go up by 15 percent every year, or down by 10 percent. Both outcomes are equally likely. The risk free rate is 5 percent, and the current stock price of KYC is 100. (a) Price a...
-
Last Sale Net Bid Ask Open Int Puts Last Sale Net bid Ask Vol Open Int 16Aug 155.00(1619H155-E) 6.45 0.75 6.95 7.25 9 16Aug 155.00(1619T155-E) 1.18 (0.75) 1.17 1.25 61 4505 16Aug 166.00(1619H160-E)...
-
2. CMR, BEP in pesos, operating profit, MSR and DOL if: a. unit sales price increases by 10% b. unit variable cost decrease by 5% c. fixed cost increase by P500,000 d. quantity sold increase by...
-
Let U = {1, 2, 3, 4,p, 10} A = {1, 3, 5, 7} B = {3, 7, 9, 10} C = {1, 7, 10} Determine the following. A - B
-
An Add curved arrows to the following reactions to indicate the flow of electrons ineach: (a) H-CI D-CI = H. H. (b) -I CH CH CH
-
A. J. Smith Company started business on January 1, 2016, and the following transactions occurred in its first year: 1. On January 1, the company issued 12,000 common shares at $25 per share. 2. On...
-
Mr. A. Gaylord manages a pension fund and believes that his stock selection ability is excellent. However, he is worried because the market could go down. He considers entering an equity swap where...
-
Jackson Company, which uses the high-low method to analyze cost behaviour, has determined that machine hours best predict the companys total utilities cost. The companys cost and machine hour usage...
-
Find the Discounted Payback period for the following project. The discount rate is 8% Project X Initial Outlay $17629 Year 1 $5339 Year 2 $5436 Year 3 $5582 Year 4 $8078
-
What is the sign of the delta of a call option on a put option? Why? What about a put on a call?
-
You hold a portfolio that is short 800 calls, each with a rho of +21.50, and long 800 puts, each with a rho of 16.70. By how much does your portfolio value change if interest rates move down by 20...
-
Propose mechanisms for the following reactions. In most cases, more products are formed than are shown here. You only need to explain the formation of the products shown, however. (a) (b) (c) CI CH2...
-
________________ accounting reports info mainly at the end of the month, quarter, or year. Select one: a. Managerial b. There is not enough information to answer this question. c. Both Financial and...
-
Review your digital portfolio. How will it know the situation that exists before implementing the plan? How will it know the impact of a plan had once implemented? Consider these questions then draft...
-
One that is not perfectly competitive but produces competing price is the monopolistic competition. Under Nash equilibrium, we also have many decision-makers or firms without a single firm dominating...
-
Many activities are counted in the calculation of a country's GDP. Discuss how each of the following affects the GDP calculation in Canada (8 Marks): A.Agropur Dairy Co-operative in Quebec. (2 Marks)...
-
What is the major premise behind activity-based costing? please explain.
-
The treasury stock purchased in Question is resold by Luz, Inc. for $13,000. What effect does this transaction have on? Luz, Inc. purchases 1,000 shares of its own previously issued $5 par common...
-
What are the principal differences among asset liquidity management, liability management, and balanced liquidity management?
-
Annual maintenance costs for a particular section of highway pavement are $2000. The placement of a new surface would reduce the almual maintenance cost to $500 per year for the first 5 years and to...
-
An investor is considering buying a 20-year corporate bond. The bond has a face value of $1000 and pays 6% interest per year in two semiannual payments. Thus the purchaser of the bond will receive...
-
A road building contractor has received a major highway construction contract that will require 50,000 m3 of crushed stone each year for 5 years. The needed stone can be obtained from a quarry for...
-
If you currently can afford a $250,000 home loan with monthly payments of $1500, what needs to change in order for you to only be able to afford a $225,000 home loan with monthly payments of $1500?
-
Default risk and market risk Credit quality and inflation risk Credit quality, or default risk Interest rate and default risk. What does a bond rating measure?
-
For this question "Macro Corporation issued 50-year $80million of face value bonds that have a coupon rate of 6% paid semi-annually. The bonds were issued at 97. Given this information, calculate the...
Study smarter with the SolutionInn App