Q21 Use the price matrix below to construct October 45 put and October 50 put to construct a bull spread. Show your calculations of initial cost and initial delta. Graph the strategy for two periods Now and at Expiration. Your graph must clearly show for Now, the initial cost and initial delta. In addition, the graph must clearly show profit/loss, breakeven point(s), maximum risk of the strategy and the value of the deltas at Expiration for three possible stock price outcomes ($40, $45, $50). Chapter 9 CALLS BMO PUTS April (36) July (126) Oct. (217) Price Price Price A Bid Ask Bid/Ask A Bid/Ask 15.00/15.25 99 15.25/15.75 98 15.75/16.2597 10.00/10.38 98 10.75/11.00 95 11.60/11.85 91 5.25/5.50 / 92 6.60/6.85 81 7.90/8.15 1.70/1.95 56 3.60/3.85 595.00/5.25 62 0.20/0.40 17 1.60/1.85 37 2.85/3.10 45 0.05/0.15 2 0.55/0.80 5 1.55/1.80 10 - numbers in parenthesis are days to expiration. A - refers to the mid-price deltas. April (36) July (126) Oct. (217) Strike Price Price Price A Bid Ask Bid/Ask A Bid Ask 25 0.05/0.08 -1 0.10/0.15 -2 0.13/0.175 -3 30 0.05/0.10 -2 0.15/0.25 -5 0.25/0.50 -9 35 0.25/0.36 -8 0.80/1.00 -19 1.40/1.65 -21 40 1.35/1.60-44 2.60/2.85 -41 3.50/3.75 -38 45 4.90/5.15 -83 5.75/6.00 -63 6.50/6.75 -55 50 9.75/10.05 -98 10.00/10.30-95 10.05/10.55 -90 79 Page 5 of 6 Q22 Use the price matrix below to construct April 30 call and April 40 call to construct a bear spread. Show your calculations of initial cost and initial delta. Graph the strategy for two periods Now and at Expiration. Your graph must clearly show for Now, the initial cost and initial delta. In addition, the graph must clearly show profit/loss, breakeven points), maximum risk of the strategy and the value of the deltas at Expiration for three possible stock price outcomes ($30, $35, $40). Chapter 9 CALLS BMO PUTS April (36) July (126) Oct. (217) Price Price Price A Bid/ Ask A Bid/Ask Bid Ask 15.00/15.25 99 15.25/15.75 98 15.75/16.25 97 10.00/10.38 98 10.75/11.00 95 11.60/11.85 91 5.25/5.50 92 6.60/6.85 81 | 7.90/8.15 79 1.70/1.95 56 3.60/3.85 59 5.00/5.25 62 0.20/0.40 17 1.60/1.85 37 2.85/3.10 45 0.05/0.15 2 0.55/0.805 1.55/1.80 10 - numbers in parenthesis are days to expiration. A - refers to the mid-price deltas. April (36) Strike Price Bid Ask 25 0.05/0.08 30 0.05/0.10 -2 35 0.25/0.36 -8 40 1.35/1.60-44 45 4.90/5.15 -83 50 9.75/10.05 -98 July (126) Oct. (217) Price Price Bid/Ask A Bid/Ask 0.10/0.15 -2 0.13/0.175 -3 0.15/0.25 -5 0.25/0.50 -9 0.80/1.00 -19 1.40/1.65 -21 2.60/2.85 -41 3.50/3.75 -38 5.75/6.00 -63 6.50/6.75 -55 10.00/10.30 -95 10.05/10.55-90 Q21 Use the price matrix below to construct October 45 put and October 50 put to construct a bull spread. Show your calculations of initial cost and initial delta. Graph the strategy for two periods Now and at Expiration. Your graph must clearly show for Now, the initial cost and initial delta. In addition, the graph must clearly show profit/loss, breakeven point(s), maximum risk of the strategy and the value of the deltas at Expiration for three possible stock price outcomes ($40, $45, $50). Chapter 9 CALLS BMO PUTS April (36) July (126) Oct. (217) Price Price Price A Bid Ask Bid/Ask A Bid/Ask 15.00/15.25 99 15.25/15.75 98 15.75/16.2597 10.00/10.38 98 10.75/11.00 95 11.60/11.85 91 5.25/5.50 / 92 6.60/6.85 81 7.90/8.15 1.70/1.95 56 3.60/3.85 595.00/5.25 62 0.20/0.40 17 1.60/1.85 37 2.85/3.10 45 0.05/0.15 2 0.55/0.80 5 1.55/1.80 10 - numbers in parenthesis are days to expiration. A - refers to the mid-price deltas. April (36) July (126) Oct. (217) Strike Price Price Price A Bid Ask Bid/Ask A Bid Ask 25 0.05/0.08 -1 0.10/0.15 -2 0.13/0.175 -3 30 0.05/0.10 -2 0.15/0.25 -5 0.25/0.50 -9 35 0.25/0.36 -8 0.80/1.00 -19 1.40/1.65 -21 40 1.35/1.60-44 2.60/2.85 -41 3.50/3.75 -38 45 4.90/5.15 -83 5.75/6.00 -63 6.50/6.75 -55 50 9.75/10.05 -98 10.00/10.30-95 10.05/10.55 -90 79 Page 5 of 6 Q22 Use the price matrix below to construct April 30 call and April 40 call to construct a bear spread. Show your calculations of initial cost and initial delta. Graph the strategy for two periods Now and at Expiration. Your graph must clearly show for Now, the initial cost and initial delta. In addition, the graph must clearly show profit/loss, breakeven points), maximum risk of the strategy and the value of the deltas at Expiration for three possible stock price outcomes ($30, $35, $40). Chapter 9 CALLS BMO PUTS April (36) July (126) Oct. (217) Price Price Price A Bid/ Ask A Bid/Ask Bid Ask 15.00/15.25 99 15.25/15.75 98 15.75/16.25 97 10.00/10.38 98 10.75/11.00 95 11.60/11.85 91 5.25/5.50 92 6.60/6.85 81 | 7.90/8.15 79 1.70/1.95 56 3.60/3.85 59 5.00/5.25 62 0.20/0.40 17 1.60/1.85 37 2.85/3.10 45 0.05/0.15 2 0.55/0.805 1.55/1.80 10 - numbers in parenthesis are days to expiration. A - refers to the mid-price deltas. April (36) Strike Price Bid Ask 25 0.05/0.08 30 0.05/0.10 -2 35 0.25/0.36 -8 40 1.35/1.60-44 45 4.90/5.15 -83 50 9.75/10.05 -98 July (126) Oct. (217) Price Price Bid/Ask A Bid/Ask 0.10/0.15 -2 0.13/0.175 -3 0.15/0.25 -5 0.25/0.50 -9 0.80/1.00 -19 1.40/1.65 -21 2.60/2.85 -41 3.50/3.75 -38 5.75/6.00 -63 6.50/6.75 -55 10.00/10.30 -95 10.05/10.55-90