![boogydavis219](/avatars/12066.jpg)
boogydavis219
13.12.2019 •
Business
Current price of stock a is $53. one investor is making a volatility bet: profits will be highest when volatility is low, such that if the stock price ends up in the interval between $50 and $60. devise a portfolio using only call options and shares of stock with the following payoff at the option expiration date.
Solved
Show answers
More tips
- H Health and Medicine How to Improve Your Posture?...
- A Animals and plants How to Properly Care for a Pet Decorative Rabbit at Home?...
- C Computers and Internet How to Check the Speed of My Internet?...
- H Health and Medicine 10 Ways to Cleanse Your Colon and Improve Your Health...
- W Work and Career How to Write a Resume That Catches the Employer s Attention?...
- C Computers and Internet Е-head: How it Simplifies Life for Users?...
- F Family and Home How to Choose the Best Diapers for Your Baby?...
- F Family and Home Parquet or laminate, which is better?...
- L Leisure and Entertainment How to Properly Wind Fishing Line onto a Reel?...
- L Leisure and Entertainment How to Make a Paper Boat in Simple Steps...
Ответ:
Please consider the following calculations
Explanation:
Before we get into the question, let's understand the payoff of following situations: Let S0 be the current stock price, S be the stock price on date of expiration and K is the strike price of call option.
Long stock = S - S0 = S - 53
Short stock = S0 - S = 53 - S
Long call option = max (S - K, 0)
Short call option = - max (S - K, 0)
Buy stock, short call at 50, short call at 60, long call at 110
Payoff = S - 53 - max (S - K1, 0) - max (S - K2, 0) + max (S - K3, 0)
When S = 50, Payoff = 50 - 53 - max (50 - 50, 0) - max (50 - 60, 0) + max (50 - 110, 0) = -3
When S = 60, Payoff = 60 - 53 - max (60 - 50, 0) - max (60 - 60, 0) + max (60 - 110, 0) = -17
Short stock, long call at 50, long call at 60, short call at 110
Payoff = 53 - S + max (S - K1, 0) + max (S - K2, 0) - max (S - K3, 0)
When S = 50, Payoff = 53 - 50 + max (50 - 50, 0) + max (50 - 60, 0) - max (50 - 110, 0) = 3
When S = 60, Payoff = 53 - 60 + max (60 - 50, 0) + max (60 - 60, 0) - max (60 - 110, 0) = 17
Buy stock, short 2 calls at 50, long call at 60, short call at 110
Payoff = S - 53 - 2 x max (S - K1, 0) + max (S - K2, 0) - max (S - K3, 0)
When S = 50, Payoff = 50 - 53 - 2 x max (50 - 50, 0) + max (50 - 60, 0) - max (50 - 110, 0) = -3
When S = 60, Payoff = 60 - 53 - 2 x max (60 - 50, 0) + max (60 - 60, 0) - max (60 - 110, 0) = -13
Short stock, long 2 calls at 50, short call at 60, long call at 110
Payoff = 53 - S + 2 x max (S - K1, 0) - max (S - K2, 0) + max (S - K3, 0)
When S = 50, Payoff = 50 - 53 + 2 x max (50 - 50, 0) - max (50 - 60, 0) + max (50 - 110, 0) = -3
When S = 60, Payoff = 60 - 53 + 2 x max (60 - 50, 0) - max (60 - 60, 0) + max (60 - 110, 0) = 27
Thus, option 2 is the only option where there is always a profit irrespective of where stock price lands up in the range of $ 50 to $ 60. Hence, please choose the second option position:
Short stock, long call at 50, long call at 60, short call at 110
Ответ:
Explanation:
Assuming the spoofed 1.2.3.4, it will be sent out ARP to a router that is alive and get it MAC. Then the spoofed packet will be able to be sent out. If A spoofed 10.0.2.30, because it is a local address, it will send an ARP to the machine for been able to get the MAC. But, the IP address 10.0.2.30 is not original making it to be fake, so it will not replay to A, for this reason the spoofed packet cannot be sent out.