99 0.05/0.08 - 1 0.10/0.15 -2 -3 97 91 98 15.00/15.25 10.00/10.38 5.25/5.50 1.70/1.95 98 95 81 -9 15.25/15.75 10.75/11.00 6.60/6.85 3.60 3.85 1.60/1.85 15.75/16.25 11.60/11.85 7.90/8.15 5.00/5.25 -2 -8 0.15/0.25 0.80/1.00 0.13/0.175 0.25/0.50 1.40/1.65 3.50/3.75 79 92 51 0.25/0.36 -5 -19 -47 -21 -41 53 59 1.35/1.60 -49 2.60 2.85 17 45 37 5 -83 -98 -63 -95 -55 -90 0.05/0.15 10 10.00/10.30 10.05/10.55 1 Assume you can trade Bank of Montreal (BMO) stock at the prices below: Bid Ask Last BMO 39.90 40.00 40.00 Below are the prices and Deltas (A's) of BMO options (hint: use the Deltas in building your strategy). Use last price as a reference point for the questions below. CALLS BMO PUTS April (36) July (126) Oct. (217) Strike April (36) July (126) Oct. (217) Price A Price A Price A Price Price A Price Bid/Ask Bid Ask Bid/Ask Bid Ask Bid Ask Bid Ask 25 30 0.05/0.10 35 40 0.20/0.40 2.85/3.10 45 4.90/5.15 5.75/6.00 6.50/6.75 2 0.55/0.80 1.55/1.80 50 9.75/10.05 - refers to the mid-price deltas.- numbers in parenthesis are days to expiration a. (2) Are the calls with a strike price of 45 in the money or out of the money? Why? Answer in Blank 1 b. (2) Are the puts with a strike price of 45 in the money or out of the money? Why? Answer in Blank 2 c. (3) What is the intrinsic value of the July 45 put? What is the time value of the July 45 call? Answer in Blank 3 a. (3) What is the intrinsic value of the Oct 45 calls? What is the time value of the Oct 45 Calls? Answer in Blank 4 b. (10) Independent Part. Apply the concept and characteristic of delta. Choose the values of the deltas from the opposite table and fit them the appropriate space in the table below, given that the Stock is trading at $60. Answer in Blank 5. Format your answers as below, where X.X.2 ...etc. are the values of the Deltas. -15 -48 36 Row 1, x, y, x, 55, m, w,j 5479 -21 Row 2, c, u, t, 60, n, b, v -70 75 -44 Row 3, 4, e, 0, 65, s, p, k -46 -25 30 CALLS Strike PUTS -75 52 85 56 -64 25 Mar April May Mar April May 55 60 65