An investor is long 1 ZYX 600 index call and short 1 ZYX 610 put. The multiplier

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An investor is long 1 ZYX 600 index call and short 1 ZYX 610 put. The multiplier on ZYX is 100 and on expiration the settlement value of the index is 604. What will be the net cash settlement of this investor’s index option position:

A. $0

B. $200 debit

C. $400 credit

D. $600 debit

E. $1,000 debit

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Value at Risk The New Benchmark for Managing Financial Risk

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Authors: Philippe Jorion

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Posted Date: Jan 19, 2021 04:47 PM

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An investor is long 1 ZYX 600 index call and short 1 ZYX 610 put. The multiplier

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Expert Answer:

Option D is correct 600 Justification As th... View the full answer

Value at Risk The New Benchmark for Managing Financial Risk

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