Exam 17: The Option Greeks

A stock is trading at $20. A one-month call with a strike of 19 is valued at $1.439 and has a rho of 1.09. An increase in interest rates of 10 basis points changes the call value to, 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?

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

Which of the following statements is false?

The gamma of a put is typically highest when

You are short a put on $A B C$ stock and have delta-hedged yourself using the stock. The delta of the put is $- 0.71$ and the gamma of the put is $+ 0.04$ . If the price of the underlying registers an increase of $0.50, to maintain your delta-hedge, you must

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

The delta of a call option is 0.6. The current price of the call is $5 and that of a put at the same strike is $4, and the stock is at $100. What is the approximate price of the put if the stock price increases to $100.50?

Which of the following is NOT valid about the time decay of European put and call options with the same strike and maturity?

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?

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

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?

Theta is always negative except possibly for certain

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?

A stock is trading at $24. A three-month European put option with a strike of $35 costs $10.855 and has a theta of 1.735. The passage of one trading day ( $\approx 0.004$ years) causes the value of the put to, approximately,

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?

A stock is trading at $80. You hold a delta-hedged portfolio in which you are short a call and long $\Delta$ units of the stock. The delta of the call is 0.65 and the gamma of the call is 0.06. If the stock registers an unexpected price decrease of $4, the value of your delta-hedged portfolio will

The delta of an option measures, approximately,