题目内容

During the first hour of trading on an exchange, the share price of a stock increased from USD 75.00 to USD 75.30. If the price of a call option on the stock decreased from USD 1.50 to USD 1.25 during the same trading period, which of the following could best explain why?

A. The delta of the call option is negative.
B. The risk-free rate increased based on the previous day’s aftermarket announcement by the Federal Reserve.
C. The implied volatility of the stock decreased during the first hour of trading.
D. The call option is deep in-the-money.

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What is themost likelyresult of a decrease in the risk-free rate of return on put and call option prices?

A. Put and call prices will increase.
B. Put option prices will decrease and call option prices will increase.
C. Put option prices will increase and call option prices will decrease.

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A European stock index call option has a strike price of ＄1,160 and a time to expiration of 0.25 years. Given a risk-free rate of 4%, if the underlying index is trading at ＄1,200 and has a multiplier of 1, then the lower bound for the option price is closest to:

A. ＄51.32.
B. ＄28.29.
C. ＄40.00.

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A European call option on a non-dividend paying stock with a strike price of ＄25.00 expires in 3 months. The underlying stock currently trades at ＄29.00. The risk-free rate is 5.00%. The lower bound for the European call is closest to:

A. ＄0.00.
B. ＄4.00.
C. ＄4.30.

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Prior to expiration, the lowest value of a European put option is the greater of zero or the:

A. exercise price minus the value of the underlying.
B. present value of the exercise price minus the value of the underlying.
C. value of the underlying minus the present value of the exercise price.

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During the first hour of trading on an exchange, the share price of a stock increased from USD 75.00 to USD 75.30. If the price of a call option on the stock decreased from USD 1.50 to USD 1.25 during the same trading period, which of the following could best explain why?

A. The delta of the call option is negative. B. The risk-free rate increased based on the previous day’s aftermarket announcement by the Federal Reserve. C. The implied volatility of the stock decreased during the first hour of trading. D. The call option is deep in-the-money.

What is themost likelyresult of a decrease in the risk-free rate of return on put and call option prices?

A European stock index call option has a strike price of ＄1,160 and a time to expiration of 0.25 years. Given a risk-free rate of 4%, if the underlying index is trading at ＄1,200 and has a multiplier of 1, then the lower bound for the option price is closest to:

A European call option on a non-dividend paying stock with a strike price of ＄25.00 expires in 3 months. The underlying stock currently trades at ＄29.00. The risk-free rate is 5.00%. The lower bound for the European call is closest to:

Prior to expiration, the lowest value of a European put option is the greater of zero or the:

A. The delta of the call option is negative.
B. The risk-free rate increased based on the previous day’s aftermarket announcement by the Federal Reserve.
C. The implied volatility of the stock decreased during the first hour of trading.
D. The call option is deep in-the-money.