For the following problem assume the effective 6-month interest rate is 2 %, the S&T 6-month forward price is $ 1020, and use the premiums listed below for S&R options with 6 month to expiration.
| Strike | Call | Put |
| 950 | 120.405 | 51.777 |
| 1000 | 93.809 | 74.201 |
| 1020 | 84.47 | 84.47 |
| 1050 | 71.802 | 101.214 |
| 1107 | 51.873 | 137.167 |
1)
Suppose you buy a 1050-strike S&T straddle, determine the profit for the following S&T index spot prices at expiriry.
When price is $ 925, the profit is $
?
When price is $ 950, the profit is $
?
When price is $ 975, the profit is $
?
When price is $ 1000, the profit is $
?
When price is $ 1025, the profit is $
?
When price is $ 1050, the profit is $
?
When price is $ 1075, the profit is $
?
When price is $ 1100, the profit is $
?
When price is $ 1125, the profit is $
?
2) Suppose you write a 950-strike S&T straddle, determine the profit for the following S&T index spot prices at expiriry.
When price is $ 925, the profit is $
?
When price is $ 950, the profit is $
?
When price is $ 975, the profit is $
?
When price is $ 1000, the profit is $
?
When price is $ 1025, the profit is $
?
When price is $ 1050, the profit is $
?
When price is $ 1075, the profit is $
?
When price is $ 1100, the profit is $
?
When price is $ 1125, the profit is $
?
3) Suppose you simultaneously buy a 1050-strike S&T straddle and write a 950-strike S&T straddle, determine the profit for the following S&T index spot prices at expiriry.
When price is $ 925, the profit is $
?
When price is $ 950, the profit is $
?
When price is $ 975, the profit is $
?
When price is $ 1000, the profit is $
?
When price is $ 1025, the profit is $
?
When price is $ 1050, the profit is $
?
When price is $ 1075, the profit is $
?
When price is $ 1100, the profit is $
?
When price is $ 1125, the profit is $
?
You can earn partial credit on this problem.