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Guide to Successful Strategies Financial Times Guides by Jordan Lenny_10

Tham khảo tài liệu 'guide to successful strategies financial times guides by jordan lenny_10', kinh doanh - tiếp thị, quản trị kinh doanh phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | Questions and answers 283 Chapter 11 questions 1 Coca-Cola s earnings prospects are good but the stock market as a whole has been bearish and volatile lately. The market could rally or it could retrace to recent lows dragging Coca-Cola along with it. The stock price is 52.67 and the following August options are listed with 90 days until expiration Coca-Cola at 52.67 August options with 90 days until expiration Coca- 45.00 47.50 50.00 52.50 55.00 57.50 60.00 Cola strike Calls 4.04 2.52 1.45 0.79 0.34 Puts 0.82 1.30 2.05 2.90 4.25 a i What is the cost of the August 52.50 straddle ii At expiration what is the upside break-even level iii What is the downside break-even level iv What is the maximum profit v What is the maximum loss vi What is the profit loss if the stock closes at 57.50 at expiration b i What is the cost of the long August 50-55 strangle ii At expiration what is the upside break-even level iii What is the downside break-even level iv What is the maximum profit v What is the maximum loss vi What is the profit loss if the stock closes at 47.50 at expiration c Why is the 50 put priced higher than the 55 call 2 In the UK the outlook for Sainsbury during the next several months is for continued good but not spectacular trading and you expect the shares to be stable. The implied volatility for the options is 38 per cent down from over 50 per cent. It is November and the January options are entering their accelerated time decay period. Sainsbury is trading at 537.5 and the following options prices are listed Sainsbury at 537.5 January options with 70 days until expiry 284 Questions and answers Strike 420 460 500 550 600 650 700 Calls 34 17.5 8 3 Puts 3 8 17.5 39.5 i What is the income from selling the January 500-600 strangle ii At expiry what is the upside break-even level iii What is the downside break-even level iv What is the maximum profit v What is the maximum loss Chapter 11 answers 1 a i 2.52 2.90 5.42 ii 52.50 5.42 57.92 iii 52.50 - 5.42 47.08 iv .