1.A speculator buys 6 T-bill futures contracts at 91.88 and closes them out three weeks later at 91.56. Calculate this person's gain or loss in dollars.
2.A treasury bill matures in 60 days and sells for $9950. What is its bond equivalent yield?
3. A $1000 par, 7 1/2% Treasury bond paid interest 57 days ago. It sells for 102% of par. Ignoring commissions, but including accrued interest, how much must you pay to buy one of the bonds?
4.Using the CBOE Options Calculator, prepare a delta table for 90-day, American style options with striking prices of 350, 355, and 360.
5.Repeat Problem 1 for European exercise style
6.Fill in the blanks with the appropriate letter:
7.7.Suppose you buy 25 90-day 350 call contracts and write 25 90-day 360 call contracts. What is your
b. position delta?
c. position gamma?
d. position theta?
8.A 3-month call has a delta of 0.545. What is the approximate delta of a long straddle composed of ten of these call contracts and twelve put contracts?
9.A call option is currently in-the-money. Explain how its delta will change if
a. time passes
b. the underlying asset declines in value
c. the stock splits two for one
10.After 15 days, the stock price has increased by 3%. Update the following position statistics.
- Position delta
- Position gamma
- Position theta
New derivatives:
|
Option
|
Delta
|
Gamma
|
Theta
|
|
350 call
|
0.709
|
0.01
|
- 0.093
|
|
360 call
|
0.599
|
0.011
|
- 0.103
|