Question
Exercise #15 Use the following market closes for soybean futures and options on April 6, 2011 to answer the questions below. Soybean futures market Contract
Exercise #15
Use the following market closes for soybean futures and options on April 6, 2011 to answer the questions below.
Soybean futures market
| Contract | Closing Price |
| July | $13.88 |
| September | $13.86 |
Soybean options market (cents per bushel)
|
|
| Calls |
| Puts |
| Strike Price | July | September | July | September |
| 1340 | 861 | 1162 | 380 | 705 |
| 1360 | 744 | 1062 | 463 | 805 |
| 1380 | 644 | 967 | 563 | 911 |
| 1400 | 561 | 881 | 677 | 1023 |
| 1420 | 486 | 806 | 804 | 1147 |
What is the intrinsic value of a 1360 July call? __________________
What is the time value of this same call option? __________________
| What is the intrinsic value of a 1360 September call? | __________________ |
| What is the time value of this same option? | __________________ |
| What is the intrinsic value of a 1380 July put? | __________________ |
| What is the time value of this same option? | __________________ |
| What is the intrinsic value of a 1420 September put? | __________________ |
| What is the time value of this same option? | __________________ |
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