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Consider the following information for a non-dividend paying stock: Current stock price = 46.20 Call price Exercise Price Put price 7.03 40.00 0.83 5.24 42.50
Consider the following information for a non-dividend paying stock:
Current stock price = 46.20
Call price | Exercise Price | Put price |
7.03 | 40.00 | 0.83 |
5.24 | 42.50 | 1.54 |
3.76 | 45.00 | 2.56 |
2.61 | 47.50 | 3.90 |
a) Calculate the maximum profit of a covered call strategy using nearest out-of-the-money options.
b) Calculate the maximum loss of a collar strategy using nearest out-of-the-money options.
c) Calculate the value of a butterfly spread that peaks at S T = 45.00.
d) Estimate the maximum value of a strategy that pays $1 if the future stock price is between $42.50 and $45.00.
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