Question
After 20 trading days of dynamically delta-hedging, you have the following positions on the option expiration day: You short 200 call option contracts. Each contract
After 20 trading days of dynamically delta-hedging, you have the following positions on the option expiration day:
You short 200 call option contracts. Each contract is on 100 shares of the underlying stock. Strike price is $50.
You hold 19,981 shares of the underlying stock. Stock price is $52.11
You have accumulated $1,015,313 worth of debt as of the previous trading day. Interest rate is 0.015 per year (there are 252 trading days in a year).
You have $17,469 in your cash account (thats the premium you received from writing the calls originally)
Given that this is the expiration day, you are liquidating all your positions. Calculate the amount of debt you will be repaying in full today.
a. | $1,015,313 | |
b. | $1,015,373 | |
c. | $1,021,205 | |
d. | $1,041,210 |
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started