Question
A stock is currently trading at $115. A speculator is trying to take a bet that the stock price will rise. She sees put
A stock is currently trading at $115. A speculator is trying to take a bet that the stock price will rise. She sees put and call options trading as follows: Maturity Strike Call Price 12 months 115 14.2235 12 months 120 12.1174 Put Price 13.0792 15.9234 She has $5 million to invest and does not have any positions on the stock or options. How much margin will she have to post if she short sells: (a) The 12 month, strike 115 call? (b) The 12 month, strike 120 call? (c) The 12 month, strike 115 put? (d) The 12 month, strike 120 put?
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Investment Analysis and Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
10th Edition
538482109, 1133711774, 538482389, 9780538482103, 9781133711773, 978-0538482387
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