A) the change in the value of an option for a dollar change in the price of the underlying asset. B) the change in the value of the underlying asset for a dollar change in the call price. C) the percentage change in the value of an option for a one percent change in the value of the underlying asset. D) the change in the volatility of the underlying stock price. E) none of these. A) the change in the value of an option for a dollar change in the price of the underlying asset. B) the change in the value of the underlying asset for a dollar change in the call price. C) the percentage change in the value of an option for a one percent change in the value of the underlying asset. D) the change in the volatility of the underlying stock price. E) none of these.

A) is the volatility level for the stock that the option price implies. B) is the continued updating of the hedge ratio as time passes. C) is the percentage change in the stock call option price divided by the percentage change in the stock price. D) means the portfolio has no tendency to change value as the underlying portfolio value changes. E) is the volatility level for the stock that the option price implies and is the percentage change in the stock call option price divided by the percentage change in the stock price. A) is the volatility level for the stock that the option price implies. B) is the continued updating of the hedge ratio as time passes. C) is the percentage change in the stock call option price divided by the percentage change in the stock price. D) means the portfolio has no tendency to change value as the underlying portfolio value changes. E) is the volatility level for the stock that the option price implies and is the percentage change in the stock call option price divided by the percentage change in the stock price.

Exam 18: Performance Evaluation and Active Portfolio Management

Which one of the following variables influence the value of options? I.Level of interest rates. II.Time to expiration of the option. III.Dividend yield of underlying stock. IV.Stock price volatility.

(Multiple Choice)

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Question 21

If the stock price increases,the price of a put option on that stock __ and that of a call option _.

(Multiple Choice)

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Question 22

You purchased a call option for a premium of $4.The call has an exercise price of $29 and is expiring today.The current stock price is $31.What would be your best course of action?

(Multiple Choice)

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Question 23

A portfolio consists of 400 shares of stock and 200 calls on that stock.If the hedge ratio for the call is 0.6,what would be the dollar change in the value of the portfolio in response to a one dollar decline in the stock price?

(Multiple Choice)

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Question 24

The percentage change in the stock call option price divided by the percentage change in the stock price is called

(Multiple Choice)

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Question 25

Higher dividend payout policies have a impact on the value of the call and a impact on the value of the put.

(Multiple Choice)

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Question 26

An American-style call option with six months to maturity has a strike price of $35.The underlying stock now sells for $43.The call premium is $12.What is the intrinsic value of the call?

(Multiple Choice)

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(29)

Question 27

The time value of an option is I.he difference between the option's price and the value it would have if it were expiring immediately. II.the same as the present value of the option's expected future cash flows. III.the difference between the option's price and its expected future value. IV.different from the usual time value of money concept.

(Multiple Choice)

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Question 28

Delta is defined as

(Multiple Choice)

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Question 29

A one dollar decrease in a call option's exercise price would result in a(n) in the call option's value of one dollar.

(Multiple Choice)

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Question 30

Other things equal,the price of a stock put option is positively correlated with the following factors except

(Multiple Choice)

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Question 31

The hedge ratio of an option is also called the option's

(Multiple Choice)

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Question 32

Use the two-state put option value in this problem.S_O= $100;X = $120;the two possibilities for S_Tare $150 and $80.The range of P across the two states is ___;the hedge ratio is _.

(Multiple Choice)

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Question 33

Portfolio A consists of 400 shares of stock and 400 calls on that stock.Portfolio B consists of 500 shares of stock.The call delta is 0.5.Which portfolio has a higher dollar exposure to a change in stock price?

(Multiple Choice)

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Question 34

An American-style call option with six months to maturity has a strike price of $35.The underlying stock now sells for $43.The call premium is $12.If the risk-free rate is 6%,what should be the value of a put option on the same stock with the same strike price and expiration date?

(Multiple Choice)

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Question 35

What is an option hedge ratio? How does the hedge ratio for a call differ from that of a put (or are the two equivalent)? Explain.

(Essay)

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Question 36

In the table below,list the six variables that influence the value of an American call option in column one.In column two,indicate whether an increase in the value of each would cause an increase or a decrease in the value of the call.Assume all other variables remain constant in each case.In column three,give a brief explanation of why this relationship exists.

(Essay)

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Question 37

A hedge ratio for a put is always

(Multiple Choice)

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Question 38

Delta neutral

(Multiple Choice)

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Question 39

Relative to European puts,otherwise identical American put options

(Multiple Choice)

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Question 40

Showing 21 - 40 of 57

Exam 18: Performance Evaluation and Active Portfolio Management

Which one of the following variables influence the value of options? I.Level of interest rates. II.Time to expiration of the option. III.Dividend yield of underlying stock. IV.Stock price volatility.

If the stock price increases,the price of a put option on that stock __________ and that of a call option _________.

You purchased a call option for a premium of $4.The call has an exercise price of $29 and is expiring today.The current stock price is $31.What would be your best course of action?

A portfolio consists of 400 shares of stock and 200 calls on that stock.If the hedge ratio for the call is 0.6,what would be the dollar change in the value of the portfolio in response to a one dollar decline in the stock price?

The percentage change in the stock call option price divided by the percentage change in the stock price is called

Higher dividend payout policies have a __________ impact on the value of the call and a __________ impact on the value of the put.

An American-style call option with six months to maturity has a strike price of $35.The underlying stock now sells for $43.The call premium is $12.What is the intrinsic value of the call?

Delta is defined as

A one dollar decrease in a call option's exercise price would result in a(n)__________ in the call option's value of __________ one dollar.

Other things equal,the price of a stock put option is positively correlated with the following factors except

The hedge ratio of an option is also called the option's

Use the two-state put option value in this problem.SO= $100;X = $120;the two possibilities for STare $150 and $80.The range of P across the two states is _________;the hedge ratio is _______.

Portfolio A consists of 400 shares of stock and 400 calls on that stock.Portfolio B consists of 500 shares of stock.The call delta is 0.5.Which portfolio has a higher dollar exposure to a change in stock price?

An American-style call option with six months to maturity has a strike price of $35.The underlying stock now sells for $43.The call premium is $12.If the risk-free rate is 6%,what should be the value of a put option on the same stock with the same strike price and expiration date?

What is an option hedge ratio? How does the hedge ratio for a call differ from that of a put (or are the two equivalent)? Explain.

A hedge ratio for a put is always

Delta neutral

Relative to European puts,otherwise identical American put options

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Risk and Return: Past and Prologue

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If the stock price increases,the price of a put option on that stock __ and that of a call option _.

Higher dividend payout policies have a impact on the value of the call and a impact on the value of the put.

A one dollar decrease in a call option's exercise price would result in a(n) in the call option's value of one dollar.

Use the two-state put option value in this problem.S_O= $100;X = $120;the two possibilities for S_Tare $150 and $80.The range of P across the two states is ___;the hedge ratio is _.