Buying Calls and using a static delta-hedge. (Static means no change) Consider the following information about one-year CBX options, based on CBX option current implied volatility of 30%. CBX does not pay dividends. CBX stock is currently trading at $100. Assume interest rates are zero. Strike price Call Price Call Delta 100 $ 12.00 0.50 Assume you acquire the following position: Position Cost Buy 100 Calls (K=$100) $ 1,200 Sell 50 shares -$ 5,000 Lend $3,800 $ 3,800 (this is your collateral) Total $ 0 Examine the following table based on the Price of CBX in one year: Price of CBX Call Payoff Short repurchase costs Loan (Collateral) Value T=1 Position Value Gain/Loss $60 0 -$3,000 $3,800 $800 $800 $70 0 -$3,500 $3,800 $300 $300 $100 0 -$5,000 $3,800 -$1,200 -$1,200 $110 $1,000 -$5,500 $3,800 -$ 700 -$ 700 A) At what two prices for CBX in one year would you break even? B) What is your maximum total loss in one year? C) What is your expected total gain/loss in one year if the price of CBX rises to $200