29.You hold a portfolio of European options on a stock that is (i) long 200 at-the-money calls,

each with a delta of 0.52, (ii) short 200 at-the-money puts, each with a delta of -0.48, and

(iii) long 100 shares of stock. The aggregate delta of your portfolio is

(a)100.

(b)108.

(c)300.

(d)200.

30.Which of the following isFALSE:

(a)Call delta increases as the stock price increases.

(b)Put delta increases as the stock price increases.

(c)For out-of-the-money calls, delta increases as volatility increases.

(d)For in-the-money calls, delta increases as volatility increases.32.Your boss provided you with the following market data (European options):

Stock Price = $100Call Price = $13

Put Price = $3Annual Risk-Free Rate = 5%

Option Maturity = 0.5 YearStrike Price = $95

32.What suggestion should you make to your boss? (Hint: Use Put-Call Parity with

No-Dividends, C_E-P_E= S-PV (K),to identify the relative mispricing of calls and puts.)

(a)Buy call and sell put

(b)Sell call and buy put

(c)Buy call and buy put

(d)Sell call and sell put

33.You wrote (shorted or sold) a currency put on Yen 100 million.You have used Excel to

obtain the put delta which is -0.73.To delta-hedge your risk on the put position, you should

(a)short the spot currency by Yen 73 million.

(b)long the spot currency by Yen 73 million.

(c)short the spot currency by Yen 100 million.

(d)long the spot currency by Yen 100 million.

34.You wrote (shorted or sold) a currency call on Euros 100 million.You have used Excel to

obtain the call delta which is 0.58.To delta-hedge your risk on the call position, you should

(a)short the spot currency by Euros 58 million.

(b)long the spot currency by Euros 58 million.

(c)short the spot currency by Euros 100 million.

(d)long the spot currency by Euros 100 million.