Futures and Options

Homework 4

Due: Monday, November 23, 2020

Please refer to HW4_data.doc for quotes on Intel stock options.

Consider the following positions on the Intel stock. For each of the positions choose the strike X = $43. Choose Januaryoption.

a. Long 1 call contract.

b. Short 1 put.

c. Long 1 call + short 1 put.

d. Long 1 call + long 1 put.

e. Long 1 call with strike $43 and short 1 call with strike $45.

Assume that you enter and close the positions at the mid point of bid-ask spread.

For each position (a-e) answer the following questions. Assume that you trade each contract on Oct 29 (i.e. enter the positions).

1. Close out your positions on Nov 5.Calculate your net dollar gain or loss.

2. Now assume that you exercise options on Nov 5. For each position compute your net gain or loss.

3. For each position draw the payoff diagram, marking the strikes and the stock price on Nov 5 clearly, as well as your payoff on Nov 5.

October 29 INTC (INTEL CORP) 44.2618 +0.1199 Last Calls Net Bid Ask Sale Open Int Maturity Puts Last Net Bid Ask Vol Strike Sale Open Int 5 -1.025 4.9 5.05 166 830 20 Dec 40.00 +0.425 0.96 1.01 982 3510 3.29 -0.71 3.15 3.3 1,177 1483 20 Dec 42.50 1.76 +0.67 1.71 1.78 2,557 1478 1.95 -0.475 1.86 1.98 1,735 2105 20 Dec 45.00 2.93 +0.915 2.9 2.98 1,770 16443 1 09 -0.255 1.02 1.12 1,531 3787 20 Dec 47.50 4.55 +1.075 4.5 4.7 449 28923 5.4 -0.9 5.3 5.5 284 3557 21 Jan 40.00 1.4 +0.54 1.31 1.4 977 53605 3.46 -0.615 3.4 3.55 223 2401 21 Jan 43.00 2.3 +0.635 2.38 2.5 1,598 36128 2.4 -0.43 2.44 2.54 1,653 7245 21 Jan 45.00 3.4 +0.96 3.35 3.5 3,534 38784 1.7 -0.27 1.66 1.77 1,133 9277 21 Jan 47.00 4.72 +1.145 4.6 4.8 199 28213 November 5 INTC (INTEL CORP) 45.7 +0.43 Calls Last Net Bid Ask Vol Open Maturity Puts Last Net Bid Ask Vol Sale Int Strike Sale Open Int 5.85 +0.45 5.75 5.9 52 1118 20 Dec 40.00 0.42 -0.245 0.4 0.44 440 4936 3.75 +0.3 3.65 3.9 70 1666 20 Dec 42.50 0.81 -0.43 0.78 0.9 1,101 16108 2.1 +0.135 2.19 512 4400 20 Dec 45.00 1.68 -0.575 1.65 1.72 1,338 18594 1.01 +0.02 0.95 1.07 9,789 22357 20 Dec 47.5 3.1 -0.675 3 3.2 8,849 42387 6.22 +0.445 6.05 6.3 97 3785 21 Jan 40.00 0.7 -0.305 0.67 0.78 474 53432 3.84 +0.215 3.75 3003 21 Jan 43.00 1.41 -0.445 1.35 1.45 642 35843 2.63 +0.14 2.55 2.67 473 12264 21 Jan 45.00 2.1 -0.61 2.13 2.27 747 41894 1.67 +0.045 1.63 1.75 1,093 9939 21 Jan 47.00 3.2 -0.65 3.15 3.35 82 27679