Analyze covered calls as in Table 5.2. Data given in table 5.2 In Table 5.2 we show

Analyze covered calls as in Table 5.2.

Data given in table 5.2

Transcribed Image Text:

In Table 5.2 we show simulation results for some covered call trades. Table 5.2 Gain expectation for covered call trades So = $80.00, r = r = 1%, p= 4%, o = 20% Trade Time Price Amt to at expir. risk 82.50 call 82.50 call 82.50 call 85 call 85 call 85 call 15 0.43 79.57 30 0.89 79.11 45 1.27 78.73 0+ 15 0.10 79.90 0+ 0+ 0+ 30 0.36 45 0.64 79.64 79.36 Total loss prob(%) (%) Gain prob pected gain 0+ 0+ Ex- Gain 56 0.110 59 0.200 61 52 54 56 0.295 0.121 0.242 0.337 rate (%) 4 3 3 4 4 3