Blackboard Learn 3/06/13 3:08 PM

FINS2624-Portfolio Mgmt - s1/2013 Online quizzes Online Quiz 11

Review Test Submission: Online Quiz 11

Review Test Submission: Online Quiz 11

User Marsha SETIJADI

Submitted 03/06/13 15:08
Status Completed
Score 100 out of 100 points
Instructions

Question 1 10 out of 10
points
Which one of the following variables influence the value of call
options?
I) Level of interest rates.
II) Time to expiration of the option.
III) exercise price.
IV) Stock price volatility.
Selected Answer: I, II, III, and IV.

Question 2 10 out of 10
points
If a stock call option has 0.30 chance of finishing in the money, a
put with the same expiration date and exercise price as the call
should have ________ chance of finishing in the money.
Selected Answer: 0.70

Question 3 10 out of 10
points
Before expiration, the time value of an in the money call option is
always
Selected Answer: positive.

Question 4 10 out of 10
points
A portfolio consists of 100 shares of stock and 2 call contracts on that stock. If
the hedge ratio for the call is 0.7, what would be the dollar change in the value
of the portfolio in response to a one dollar decline in the stock price? Each call
contract has 1000 underlying shares.

Selected Answer: -$1500

Question 5 10 out of 10
points
Other things equal, the price of a stock put option is positively
correlated with the following factors except

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Selected Answer: the stock price.

Question 6 10 out of 10
points
If the stock price increases, the price of a put option on that stock
__________ and that of a call option __________.
Selected Answer: decreases, increases

Question 7 10 out of 10
points
Given: S0 = $35; X = $29; T = 180 days; r = 0.08 (annual); N(d1) =
0.7300; N(d2) = 0.6583. The value of the call option is _______.
Selected Answer: $7.20

Question 8 10 out of 10
points
Options sellers who are delta-hedging would most likely
Selected Answer:
sell when markets are falling and buy when markets are rising

Question 9 10 out of 10
points
Portfolio A consists of 150 shares of stock and 300 calls on that stock. Portfolio
B consists of 575 shares of stock. The call delta is 0.7. Which portfolio has a
higher dollar exposure to a change in stock price?
Selected Answer: Portfolio B

Question 10 10 out of 10
points
An American-style call option with six months to maturity has a strike
price of $35. The underlying stock now sells for $43. The call premium
is $12. What is the intrinsic value of the call?
Selected Answer: $8

Monday, 3 June 2013 15:08:23 o'clock EST

OK

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