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1. In the Black-Scholes-Merton option pricing formula N ( d 1 ) denotes (circle one) a. The area under a normal distribution from zero to

1. In the Black-Scholes-Merton option pricing formula N(d1) denotes (circle one)

a. The area under a normal distribution from zero to d1

b. The area under a normal distribution up to d1

c. The area under a normal distribution beyond d1

d. The area under the normal distribution between -d1 and d1

2. When a call on futures is exercised, the holder of the call acquires

a. a long position in the future contract. b a short position in the futures contract.

c. a long position in the underlying asset.

d. none of the above.

3. If the estimate of the standard deviation of the daily stock return is 0.015, the annualized standard deviation of the stock return per year is ____________.

a. 5.4000

b. 3.7500

c. 0.2846

d. 0.2381

4. The delta, D, for a call option is ____________and for a put option is __________. a. negative; positive

b. negative; negative

c. positive, negative

d. positive, positive

5. The VIX index measures (circle one)

a. Implied volatilities for stock options trading on the CBOE

b. Historical volatilities for stock options trading on CBOE

c. Implied volatilities for options trading on the S&P 500 index

d. Historical volatilities for options trading on the S&P 500 index

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