Part 1/ Use the Black-Scholes model to determine the option price for the May 35 call for Nibblers as of April 18, 2015. The expiration date for this option is May 18, 2015. The annualized interest rate on a T-bill that matures that same day is 3.0%. Nibblers stock closed at 36. The historic variance for Nibblers is .25. Assume a 365 day year.

Part 2/ The following is a multiple choice question:

On March 1, you contract to take delivery of 1 ounce of gold for $415. The agreement is good for any day up to April 1. Throughout March, the price of gold hit a low of $385 and hit a high of $435. The price settled on March 31 at $420, and on April 1st you settle your futures agreement at that price. Your net cash flow is:

A. -$30.00.

B. $20.00.

C. $5.00.

D. -$15.00.

E. -$20.00