Question
30. Consider the following calendar spread. (15 pts) Security Qty Bid Ask SPDR S&P 500 Trust ETF $469.52 $469.62 SPY JAN 14 2022 457.0 CALL
30. Consider the following calendar spread. (15 pts)
| Security | Qty | Bid | Ask |
| SPDR S&P 500 Trust ETF | $469.52 | $469.62 | |
| SPY JAN 14 2022 457.0 CALL | -15 | $3.55 | $3.60 |
| SPY JAN 14 2022 460.0 CALL | 15 | $2.20 | $2.20 |
a. What type of spread is this?
b. What is the spread's possible payoff?
c. How much initial capital is required for this spread?
d. What is the breakeven point?
e. How much margin (buying power) does this position require?
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
