\Assume now Bank of Montreal (BMO) stock market is showing Bid Ask Last BMO 40.00 40.10 40.00 BMO PUTS 15.00/15.25 99 98 15.75/16.25 97 0.05/0.08 -1 0.10/0.15 -2 0.13/0.175 -3 15.25/15.75 10.75/11.00 10.00/10.38 98 95 11.60/11.85 91 0.05/0.10 -2 0.15/0.25 -5 0.25/0.50 -9 5.25/5.50 92 6.60/6.85 81 7.90/8.15 79 0.25/0.36 -8 0.80/1.00 -19 1.40/1.65 -21 1.70/1.95 56 3.60/3.85 59 5.00/5.25 62 1.35/1.60 -44 2.60/2.85 -41 3.50/3.75 -38 0.20/0.40 17 1.60/1.85 37 2.85/3.10 45 -83 5.75/6.00 -63 -55 0.05/0.15 2. 0.55/0.80 5 10 9.75/10.05 -98 10.00/10.30 -95 10.05/10.55 -90 April (36) July (126) Oct. (217) April (36) July (126) Oct. (217) Price Price Price Strike Price Price Price A A Bid/Ask Bid/ Ask Bid/Ask Bid/Ask Bid/Ask Bid/Ask 25 30 35 40 45 4.90/5.15 6.50/6.75 1.55/1.80 50 Above are the options prices and the (A's) are mid-price deltas of the options (use these deltas for building your strategy). - numbers in parenthesis are days to expiration. Refer to the matrix above to answer the following questions, use the stock's last price. Construct April at-the-money ratio synthetic put strategy (use 100 shares vs. options). Use the space below to answer all following questions, plus inserting the requested figure in part iii. Must show all calculations. i. (10) Show how to construct this hedge, the initial cost, initial delta, and maximum risk. ii. (10) Your calculations must clearly show all steps; in calculating breakeven point(s), the value of the deltas and profit/loss at Expiration for three possible stock price outcomes ($30, $40, $50). iii. (10) In a figure, graph the above strategy at construction and at Expiration. Your graph must clearly show initial cost, initial delta, maximum risk, breakeven point(s), the value of the deltas and profit/loss at Expiration for three possible stock price outcomes ($30, $40, $50). \Assume now Bank of Montreal (BMO) stock market is showing Bid Ask Last BMO 40.00 40.10 40.00 BMO PUTS 15.00/15.25 99 98 15.75/16.25 97 0.05/0.08 -1 0.10/0.15 -2 0.13/0.175 -3 15.25/15.75 10.75/11.00 10.00/10.38 98 95 11.60/11.85 91 0.05/0.10 -2 0.15/0.25 -5 0.25/0.50 -9 5.25/5.50 92 6.60/6.85 81 7.90/8.15 79 0.25/0.36 -8 0.80/1.00 -19 1.40/1.65 -21 1.70/1.95 56 3.60/3.85 59 5.00/5.25 62 1.35/1.60 -44 2.60/2.85 -41 3.50/3.75 -38 0.20/0.40 17 1.60/1.85 37 2.85/3.10 45 -83 5.75/6.00 -63 -55 0.05/0.15 2. 0.55/0.80 5 10 9.75/10.05 -98 10.00/10.30 -95 10.05/10.55 -90 April (36) July (126) Oct. (217) April (36) July (126) Oct. (217) Price Price Price Strike Price Price Price A A Bid/Ask Bid/ Ask Bid/Ask Bid/Ask Bid/Ask Bid/Ask 25 30 35 40 45 4.90/5.15 6.50/6.75 1.55/1.80 50 Above are the options prices and the (A's) are mid-price deltas of the options (use these deltas for building your strategy). - numbers in parenthesis are days to expiration. Refer to the matrix above to answer the following questions, use the stock's last price. Construct April at-the-money ratio synthetic put strategy (use 100 shares vs. options). Use the space below to answer all following questions, plus inserting the requested figure in part iii. Must show all calculations. i. (10) Show how to construct this hedge, the initial cost, initial delta, and maximum risk. ii. (10) Your calculations must clearly show all steps; in calculating breakeven point(s), the value of the deltas and profit/loss at Expiration for three possible stock price outcomes ($30, $40, $50). iii. (10) In a figure, graph the above strategy at construction and at Expiration. Your graph must clearly show initial cost, initial delta, maximum risk, breakeven point(s), the value of the deltas and profit/loss at Expiration for three possible stock price outcomes ($30, $40, $50)