Exhibit 13-9 USE THE FOLLOWING INFORMATION FOR THE NEXT QUESTION(S) Consider the following information on put and call options for Bank of Montreal $\begin{array}{ccc} \text { Strike Price } & \text { Put Price } & \text { Call Price } \\ \hline \$ 32.50 & \$ 2.85 & \$ 1.65 \end{array}$ -Refer to Exhibit 13-9. Calculate the payoffs of a long straddle at a stock price at expiration of $20 and a stock price at expiration of $45.

A) $6.35, $18.85 B) $29.65, $42.15 C) $21.65, $34.15 D) $8, $8 E) -$8, -$8 A) $6.35, $18.85 B) $29.65, $42.15 C) $21.65, $34.15 D) $8, $8 E) -$8, -$8

Exhibit 13-8 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) $\begin{array}{c} \quad\quad\quad\quad\text { XYZ CORP }\\ \begin{array}{cccc} \hline &{ \quad\quad\quad\text { EXERCISE } } & & { \quad\quad\quad\text { NYSE } } \\ \hline&\text { DATE } & \text { PRICE } & \text { PRICE } & \text { CLOSE } \\ \hline \text {CALLS } & \text { OCT } & 85 & 163 / 4 & 10111 / 16 \\ &\text { OCT } & 90 & 12 & 10111 / 16 \\ &\text { OCT } & 95 & 75 / 8 & 10111 / 16 \\ \text { PUTS } &\text { OCT } & 85 & 1 / 8 & 10111 / 16 \\ &\text { OCT } & 90 & 3 / 8 & 10111 / 16 \\ &\text { OCT } & 95 & 13 / 16 & 10111 / 16 \end{array}\end{array}$ -Refer to Exhibit 13-8. If XYZ were trading at $90/share and you formed a bull money spread, what is your profit if XYZ is trading at $110 at expiration?

A) $912.50 loss B) $87.50 gain C) $87.50 loss D) $1,000.00 gain E) $1,000.00 loss A) $912.50 loss B) $87.50 gain C) $87.50 loss D) $1,000.00 gain E) $1,000.00 loss

Exhibit 13-8 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) $\begin{array}{c} \quad\quad\quad\quad\text { XYZ CORP }\\ \begin{array}{cccc} \hline &{ \quad\quad\quad\text { EXERCISE } } & & { \quad\quad\quad\text { NYSE } } \\ \hline&\text { DATE } & \text { PRICE } & \text { PRICE } & \text { CLOSE } \\ \hline \text {CALLS } & \text { OCT } & 85 & 163 / 4 & 10111 / 16 \\ &\text { OCT } & 90 & 12 & 10111 / 16 \\ &\text { OCT } & 95 & 75 / 8 & 10111 / 16 \\ \text { PUTS } &\text { OCT } & 85 & 1 / 8 & 10111 / 16 \\ &\text { OCT } & 90 & 3 / 8 & 10111 / 16 \\ &\text { OCT } & 95 & 13 / 16 & 10111 / 16 \end{array}\end{array}$ -Refer to Exhibit 13-8. If you establish a long strap using the options with an 95 exercise price, what is your dollar gain or loss if at expiration XYZ is still trading at 101 11/16?

A) $81.25 loss B) $1,606.25 gain C) $1,606.25 loss D) $268.75 loss E) $268.75 gain A) $81.25 loss B) $1,606.25 gain C) $1,606.25 loss D) $268.75 loss E) $268.75 gain

Exam 13: An Introduction to Derivative Markets and Securities

Tom Gettback buys 100 shares of Johnson Walker stock for $87.00 per share and a 3-month Johnson Walker put option with an exercise price of $105.00 for $20.00. What is Tom's dollar gain/loss if at expiration the stock is selling for $105.00 per share?

(Multiple Choice)

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Question 41

Exhibit 13-10 USE THE FOLLOWING INFORMATION TO ANSWER THE NEXT QUESTION(S) GE Corporation has a put option selling for $2.90 and a call option selling for $1.95, both with a strike price of $29.00. -Refer to Exhibit 13-10. What would the net value of a protective put position be if the stock price at expiration is $35?

(Multiple Choice)

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Question 42

Exhibit 13-2 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) A futures contract on Treasury bond futures with a December expiration date currently trade at 103:06. The face value of a Treasury bond futures contract is $100,000. Your broker requires an initial margin of 10%. -Refer to Exhibit 13-2. Calculate the current value of one contract.

(Multiple Choice)

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Question 43

Exhibit 13-9 USE THE FOLLOWING INFORMATION FOR THE NEXT QUESTION(S) Consider the following information on put and call options for Bank of Montreal Strike Price Put Price Call Price \ 32.50 \ 2.85 \ 1.65 -Refer to Exhibit 13-9. Calculate the payoffs of a long straddle at a stock price at expiration of $20 and a stock price at expiration of $45.

(Multiple Choice)

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Question 44

Which of the following statements is a true definition of an in-the-money option?

(Multiple Choice)

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Question 45

Exhibit 13-8 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) XYZ CORP EXERCISE NYSE DATE PRICE PRICE CLOSE CALLS OCT 85 163/4 10111/16 OCT 90 12 10111/16 OCT 95 75/8 10111/16 PUTS OCT 85 1/8 10111/16 OCT 90 3/8 10111/16 OCT 95 13/16 10111/16 -Refer to Exhibit 13-8. If XYZ were trading at $90/share and you formed a bull money spread, what is your profit if XYZ is trading at $110 at expiration?

(Multiple Choice)

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Question 46

Exhibit 13-8 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) XYZ CORP EXERCISE NYSE DATE PRICE PRICE CLOSE CALLS OCT 85 163/4 10111/16 OCT 90 12 10111/16 OCT 95 75/8 10111/16 PUTS OCT 85 1/8 10111/16 OCT 90 3/8 10111/16 OCT 95 13/16 10111/16 -Refer to Exhibit 13-8. If you establish a long strap using the options with an 95 exercise price, what is your dollar gain or loss if at expiration XYZ is still trading at 101 11/16?

(Multiple Choice)

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Question 47

Which of the following statements are true?

(Multiple Choice)

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Question 48

Assume that you have just sold a stock for a loss at a price of $75, for tax purposes. You still wish to maintain exposure to the sold stock. Suppose that you sell a put with a strike price of $80 and a price of $7.25. Calculate the effective price paid to repurchase the stock if the price after 35 days is $85.

(Multiple Choice)

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Question 49

Assume that you purchased shares of a stock at a price of $35 per share. At this time you wrote a call option with a $35 strike and received a call price of $2. The stock currently trades at $70. Calculate the dollar return on this option strategy.

(Multiple Choice)

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Question 50

Exhibit 13-10 USE THE FOLLOWING INFORMATION TO ANSWER THE NEXT QUESTION(S) GE Corporation has a put option selling for $2.90 and a call option selling for $1.95, both with a strike price of $29.00. -Refer to Exhibit 13-10. What would the net value of a long strap position be if the stock price at expiration is $35?

(Multiple Choice)

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Question 51

A one year call option has a strike price of 50, expires in 6 months, and has a price of $4.74. If the risk free rate is 3%, and the current stock price is $45, what should the corresponding put be worth?

(Multiple Choice)

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Question 52

What is equivalent to buying a bear spread?

(Multiple Choice)

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Question 53

Exhibit 13-6 USE THE FOLLOWING INFORMATION TO ANSWER THE NEXT QUESTION(S) The current stock price of ABC Corporation is $53.50. ABC Corporation has the following put and call option prices that expire 6 months from today. The risk-free rate of return is 5% and the expected return on the market is 11%. Exercise Price Put Price Call Price 50 \ 1.50 \ 5.75 55 \ 3.25 \ldots -Refer to Exhibit 13-6. How could an investor create arbitrage profits?

(Multiple Choice)

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Question 54

Exhibit 13-1 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) December futures on the S&P 500 stock index trade at 250 times the index value of 1187.70. Your broker requires an initial margin of 10% on futures contracts. The current value of the S&P 500 stock index is 1178. -Refer to Exhibit 13-1. Calculate the return on a cash investment in the S&P 500 stock index over the same time period

(Multiple Choice)

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Question 55

A vertical spread involves buying and selling call options in the same stock with

(Multiple Choice)

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Question 56

There are a number of differences between forward and futures contracts. Which of the following statements is false?

(Multiple Choice)

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Question 57

A vertical spread involves buying and selling call options in the same stock with

(Multiple Choice)

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Question 58

The value of a put option at expiration is

(Multiple Choice)

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Question 59

In the valuation of an option contract, the following statements apply except

(Multiple Choice)

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Question 60

Tom Gettback buys 100 shares of Johnson Walker stock for $87.00 per share and a 3-month Johnson Walker put option with an exercise price of $105.00 for $20.00. What is Tom's dollar gain/loss if at expiration the stock is selling for $105.00 per share?

Which of the following statements is a true definition of an in-the-money option?

Which of the following statements are true?

Assume that you purchased shares of a stock at a price of $35 per share. At this time you wrote a call option with a $35 strike and received a call price of $2. The stock currently trades at $70. Calculate the dollar return on this option strategy.

A one year call option has a strike price of 50, expires in 6 months, and has a price of $4.74. If the risk free rate is 3%, and the current stock price is $45, what should the corresponding put be worth?

What is equivalent to buying a bear spread?

A vertical spread involves buying and selling call options in the same stock with

There are a number of differences between forward and futures contracts. Which of the following statements is false?

A vertical spread involves buying and selling call options in the same stock with

The value of a put option at expiration is

In the valuation of an option contract, the following statements apply except

The Investment Setting

The Asset Allocation Decision

Selecting Investments in a Global Market

Securities Markets and the Economy

Efficient Capital Markets

An Introduction to Portfolio Management

Asset Pricing Models: Capm and Apt

Economic and Industry Analysis

Company Analysis and Stock Valuation

Technical Analysis

Bond Fundamentals

The Analysis and Valuation of Bonds

Derivatives: Analysis and Valuation

Equity Portfolio Management Strategies

Bond Portfolio Management Strategies

Professional Money Management, Alternative Assets, and Industry Ethics

Evaluation of Portfolio Performance

Analysis of Financial Statements

An Introduction to Security Valuation

Web Appendix: A Review of Statistics and the Security Market Line

Web Appendix: A Review of Statistics and the Security Market Line

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