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Problem 7 Table 1 (see below) shows prices and Greeks for a call and a put option with the following characteristics, S=$460, K=$465, 0=30%, T=
Problem 7 Table 1 (see below) shows prices and Greeks for a call and a put option with the following characteristics, S=$460, K=$465, 0=30%, T= 30 days, and r=3%. a. What is the probability that the call ends in the money? b. If the stock price increases to $461 (e.g. it increases one dollar). What is the predicted new call option price? c. If the stock price increases to $461. What is the predicted new put option price? d. What is the predicted new call price tomorrow? If the volatility decreases 1%, what the predicted new put price? f. If the stock price increases to $461, what is the predicted new call delta? e. Table 1. Put and Call prices and their respective Greeks Snapshot Calls Puts Price 13.992 17.847 Delta 0.478 -0.522 Gamma 0.010 0.010 Theta -0.282 -0.244 Vega 0.525 0.525 Rho 0.170 -0.211 Position OTM ITM Probability of 44.4% 55.6% closing ITM
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