金融衍生工具测试题(11)

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?

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(ii)What is the maximum loss when a bull spread is created from the calls?

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(iii)What is the maximum gain when a bear spread is created from the calls?

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(iv)What is the maximum loss when a bear spread is created from the calls?

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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?

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