Hi, please help me with these 2 questions about Finance/Derivative
- Consider the bull spread constructed from strikes 100 and 102. How will the delta of the spread change if the stock price reduces from 101 to 99? (Please be clear about the signs).
- You are not given the stock price, but you can figure it out from the prices of the butterfly spread. What is the stock price? (The data set is for this question only)
A B C D E F G H K M N O Strike Butterfly Spread Dervative 1 Derivative 2 X Price Stock Price Payoff Payoff Derivative 1 Derivative 2 Call of Strike 100 Put 100 Call of Strike 95 Put 95 81 0.00000045 0 82 0.00000175 C -8.8497E-06 82.00 18.50 -3.23335E-05 83 0.00000613 83.00 -17.50 0 -0.000107287 84 0.00001965 84.00 -16.50 0 -0.000324192 85 0.00005770 85.00 -15.50 0 -0.00089437 86 0.00015572 86.00 -14.50 0 -0.002257916 ooo O O 87 0.00038722 87.00 -13.50 0 -0.0052275 88 0.00088957 88.00 -12.50 0 -0.011119601 89 0.00189271 89.00 11.50 0 -0.021766148 90 0.00373868 90.00 -10.50 0 -0.039256184 91 0.00687209 91.00 9.50 0 -0.065284844 92 0.01178039 92.00 -8.50 0 -0.100133323 93 0.01887387 93.00 o o o o o o o oo O O -7.50 0 -0.14155404 94 0.02831960 94.00 -6.50 O -0.184077428 oo oo 95 0.03987489 95.00 -0.219311883 0 96 0.05278705 0 -0.237541728 0.052787051 0.9472129 97 0.06582186 97.00 3.50 0 -0.230376519 0.131643725 0.8683563 98 0.07744584 98.00 -2.50 -0.19361459 0.232337508 0.7676625 99 0.08612986 99.00 1.50 0.172259728 -0.129194796 100 0.09068876 100.00 -0.50 0.362755039 -0.04534438 o o o o o O O O O O O O O O O 0 0 0 0 0 0.344519456 0.6554805 0.453443798 0.5465562 101 0.09054993 101.00 0.0 0.362199731 0.090549933 0.9094501 0.543299597 0.4567004 102 0.08586666 102.00 0.343466628 0.171733314 0.8282667 0.601066598 0.3989334 103 0.07744732 103.00 0.154894632 -0.038723658 0.232341948 0.7676581 0.619578527 0.3804215 104 0.06653575 104.00 -1.50 -0.099803627 0.266143004 0.733857 0.598821759 0.4011782 105 0.05452189 105.00 -2.50 0.10904378 -0.13630472 0.27260944 0.7273906 0.545218881 0.4547811 106 0.04267109 106.00 -3.50 0.17068437 -0.14934882 0.256026549 0.7439735 0.469382007 0.530618 107 0.03193773 107.00 -4.50 -0.12775093 -0.143719793 0.223564122 0.7764359 0.38325278 0.6167472 108 0.02288883 108.00 -5.50 -0.09155531 -0.125888548 0.183110616 0.8168894 0.297554751 0.7024452 109 0.01572591 109.00 0.06290366 -0.102218445 0.141533232 0.8584668 0.220162806 0.7798372 110 0.01037021 110.00 7.50 0.04148086 -0.077776608 0.103702145 0.8962979 0.155553217 0.8444468 111 0.00657096 111.00 8.50 -0.02628385 -0.055853183 0.07228059 0.9277194 0.105135403 0.8948646 112 0.00400510 112.00 -9.50 -0.01602042 -0.038048491 0.048061251 0.9519387 0.068086773 0.9319132 113 0.00235072 113.00 -10.50 -0.00940288 -0.02468257 0.030559372 0.9694406 0.042312977 0.957687 114 00132995 114.00 -11.50 -0.0053198 -0.015294412 0.018619284 0.9813807 0.025269028 0.974731 115 0.00072601 115.00 -12.50 0.00290406 -0.009075186 0.010890224 0.9891098 0.014520298 0.9 116 0.00038278 116.00 -13.50 0.00153112 -0.005167532 0.006124482 0.9938755 0.008038383 0.9919616 117 0.00019510 117.00 -14.50 0.00078039 -0.002828903 0.003316645 0.9966834 0.004292129 0.9957079 118 0.00009621 118.00 -15.50 0.00038486 -0.001491318 0.001731853 0.9982681 0.002212923 0.9977871 119 0.00004595 119.00 -16.50 -0.0001838 -0.000758189 0.000873066 0.9991269 0.001102821 0.9988972 120 0.00002127 120.00 -17.50 8.5083E-05 -0.000372238 0.000425415 0.9995746 0.000531769 0.9994682 0.729260606 -2.654784154 2.1341964