Exam 17: The Option Greeks

You hold a portfolio of a long position in a call and a short position in a put,both for the same strike and maturity,both written on a non-dividend paying stock.Which of the following statements is most correct?

Which of the following statements is valid for European options?

Consider options written on a non-dividend-paying stock.Deep in-the-money put options may

For options that are at-the-money,which of the following statements is typically valid as maturity nears?

Which of the following statements is true? Consider options written on a non-dividend-paying stock.

Which of the following statements is true? Consider options written on a non-dividend-paying stock.

You hold a portfolio of a long position in a call and a long position in a put,both for the same strike and maturity.Which of the following statements is true?

The gamma of an option is

A stock is currently trading at $50.A three-month at-the-money European put option on the stock costs 2.178.The delta of the put is $- 0.4355$ and the gamma of the put is 0.063.Given these values,if the stock price decreases by $5.00,then the best estimate for the new value of the put is

Which of the following statements is true? Consider options written on a non-dividend-paying stock.

The current stock price is $50,and a put is priced at $3.59201.If the stock rises to $50.10,the price of the put will be $3.549152 and if the stock drops to $49.90,the price of the put will be $3.635261.What is the approximate gamma of the put?

The current stock price is $50,and a put is priced at $3.59201.If the stock rises to $50.10,the price of the put will be $3.549152 and if the stock drops to $49.90,the price of the put will be $3.635261.If the stock jumps to $52,what is your best estimate of the new price of the put using the put's delta and gamma?

The current stock price is $50,and a put is priced at $3.59201.If the stock rises to $50.10,the price of the put will be $3.549152 and if the stock drops to $49.90,the price of the put will be $3.635261.What is the best estimate of the delta of the put?

The absolute value of theta is highest for options

A stock is trading at $132.A one-month call with a strike of $125 costs $9.773 and has a theta of $- 30.53$ .The passage of one trading day ( $\approx 0.004$ years)will cause the call value to,approximately,

Which of the following statements is false?

The delta of an option measures,approximately,

The price of a European call option is $5 at an implied volatility of 0.25.The vega of the call is 20.If the implied volatility increases to 0.26,what is the new value of a European put option with the same strike and maturity as the call that is currently priced at $6?

The delta of a call option is 0.6.The current price of the call is $5 and the stock is at $100.What is the approximate price of the call if the stock price increases to $100.50?

You hold a straddle on a stock that you bought a month ago and that still has two months to expiry.Assume the options are European.An unexpected increase of $1 in the price of the stock