Question
1.A stock is trading at $46.96 per share, and the 47.5 option is quoted at $5.60 bid and $6.00 ask. The next day the stock
1.A stock is trading at $46.96 per share, and the 47.5 option is quoted at $5.60 bid and $6.00 ask. The next day the stock is up $2.87 on strong earnings. You see that the option had a theta of -.02 and a delta of .56. Based only on this information, how much extrinsic value should you expect the option's ask price to have?
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Cases in Financial Reporting
Authors: Michael J. Sandretto
1st edition
538476796, 978-0538476799
