Question: Based on the data in the table in the end of the exam Show the complete table of cash flows and P/L per share at
Based on the data in the table in the end of the exam
Show the complete table of cash flows and P/L per share at expiration of the following strategy:
Buy the K=60 OCT put and sell the K=65 OCT put
and sell the K=70 OCT put and buy the K=75 OCT put.
Stock ABC, t = SEP 21, 2017. All prices $/share. | ||||||||
St= 60.00 | calls | Puts | ||||||
K | OCT | NOV | JAN | APR | OCT | NOV | JAN | APR |
40 | 22 | 23 | 0.56 | |||||
50 | 12 | 0.63 | ||||||
55 | 8.13 | 10.1 | 11.5 | 1.25 | 3.63 | |||
60 | 3.55 | 7.75 | 2.88 | 4.00 | 5.60 | |||
65 | 2.50 | 3.88 | 5.60 | 8.63 | 6.00 | 6.63 | 8.38 | 10.00 |
70 | 0.94 | 3.88 | 9.25 | 11.25 | ||||
75 | 0.31 | 5.13 | 13.38 | 16.79 | ||||
80 | 1.40 | |||||||
90 | 0.81 | |||||||
95 | 0.40 |
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