金融衍生工具测试题 (11)
- 1、下载文档前请自行甄别文档内容的完整性，平台不提供额外的编辑、内容补充、找答案等附加服务。
- 2、"仅部分预览"的文档,不可在线预览部分如存在完整性等问题,可反馈申请退款(可完整预览的文档不适用该条件!)。
- 3、如文档侵犯您的权益，请联系客服反馈,我们会尽快为您处理(人工客服工作时间：9:00-18:30)。
Test Bank: Chapter 11
Trading Strategies Involving Options
1.Six-month call options with strike prices of $35 and $40 cost $6 and $4,
respectively.
(i)What is the maximum gain when a bull spread is created from the calls?
_ _ _ _ _ _
(ii)What is the maximum loss when a bull spread is created from the calls?
_ _ _ _ _ _
(iii)What is the maximum gain when a bear spread is created from the calls?
_ _ _ _ _ _
(iv)What is the maximum loss when a bear spread is created from the calls?
_ _ _ _ _ _
2.Three-month European put options with strike prices of $50, $55, and $60 cost $2,
$4, and $7, respectively.
(i)What is the maximum gain when a butterfly spread is created from the put
options? _ _ _ _ _ _
(ii)What is the maximum loss when a butterfly spread is created from the put options? _ _ _ _ _ _
(iii)For what two values of the stock price in three months does the holder of the butterfly spread breakeven with a profit of zero? _ _ _ _ _ _ _ and _ _ _ _ _ _ _
3. A three-month call with a strike price of $25 costs $2. A three-month put with a
strike price of $20 and costs $3. A trader uses the options to create a strangle. For what two values of the stock price in three months does the trader breakeven with a profit of zero?
_ _ _ _ _ _ _ and _ _ _ _ _ _