O 1 Proportion of shares Number of shares positive (+) if you What you need to do: Cumulative Cumulative Cost Shares Week Stock Price Cost of Shares Delta shares Purchased Purchased ($) including interest Interest Cost ($) purchased ($) Cost should be Running total of Cost including Interest on the cumulative shares purchased shares purchased based cost. This is paid weekly Stock price at Description of each to be purchased to buy shares and purchased. NB. It at the start of the (t=1/52) and assumes the start of the on delta. Each call negative (-) if you should never make the portfolio week and interest column option is on 1 unit cost from previous continuously compounding. "riskless" at the start week sell shares at the exceed the This is only the interest (no of each week of underlying start of the number of calls week interest is asset week shorted paid at the end of principal amt) paid at the end of the week. the week) 65 66.99 2 63.67 3 62.84 4 68.02 5 73.11 6 76.73 7 81.44 8 77.89 9 79.27 10 77.89 11 79.46 12 78.62 13 78.55 14 74.54 15 73.4 16 70.22 17 71.82 18 74.93 19 79.74 20 81.48 21 86.69 22 92.03 23 91.63 24 95.91 25 92.41 *Note, everything should be calculated in Excel. If you use a calculator, the values are not exact and you will be marked incorrect Amount received if options are exercised Descriptions/Hints Christine initially shorted 34000 European call options. If it's ITM, how much $ would she receive? Cumulative cost at expiry How much did it cost her to synthetically long a call? (by longing stock and borrowing money; you can get this number from a single cell) Christine's cost of hedging her options This does not include any premiums she received. It is cash difference between what she received from being exercised (if anything) and what she paid to synthetically create a long call Hedged Profit and loss Profit loss is the difference between the premium she received from shorting and the total cost of hedging Unhedged Profit and loss Profit loss if Christine did not hedge her position. Includes the intrinsic payoff and the premium she received O 1 Proportion of shares Number of shares positive (+) if you What you need to do: Cumulative Cumulative Cost Shares Week Stock Price Cost of Shares Delta shares Purchased Purchased ($) including interest Interest Cost ($) purchased ($) Cost should be Running total of Cost including Interest on the cumulative shares purchased shares purchased based cost. This is paid weekly Stock price at Description of each to be purchased to buy shares and purchased. NB. It at the start of the (t=1/52) and assumes the start of the on delta. Each call negative (-) if you should never make the portfolio week and interest column option is on 1 unit cost from previous continuously compounding. "riskless" at the start week sell shares at the exceed the This is only the interest (no of each week of underlying start of the number of calls week interest is asset week shorted paid at the end of principal amt) paid at the end of the week. the week) 65 66.99 2 63.67 3 62.84 4 68.02 5 73.11 6 76.73 7 81.44 8 77.89 9 79.27 10 77.89 11 79.46 12 78.62 13 78.55 14 74.54 15 73.4 16 70.22 17 71.82 18 74.93 19 79.74 20 81.48 21 86.69 22 92.03 23 91.63 24 95.91 25 92.41 *Note, everything should be calculated in Excel. If you use a calculator, the values are not exact and you will be marked incorrect Amount received if options are exercised Descriptions/Hints Christine initially shorted 34000 European call options. If it's ITM, how much $ would she receive? Cumulative cost at expiry How much did it cost her to synthetically long a call? (by longing stock and borrowing money; you can get this number from a single cell) Christine's cost of hedging her options This does not include any premiums she received. It is cash difference between what she received from being exercised (if anything) and what she paid to synthetically create a long call Hedged Profit and loss Profit loss is the difference between the premium she received from shorting and the total cost of hedging Unhedged Profit and loss Profit loss if Christine did not hedge her position. Includes the intrinsic payoff and the premium she received