An option has strike price of $52 and 13 months to expiry.

The current price of the underlying share is $49 and its volatility (sigma) is 29%.

The riskfree rate of interest is 6% per annum.

Calculate d1 for this option.    [your answer should have at least 2 decimal places]

An option-trading strategy has a gross payoff that is depicted by the purple line in the diagram below.

Which of the following describes the component legs of this option-trading strategy?

This question can be answered by using your intuition.

You manage a share portfolio currently worth

$25m Australian dollars. The beta of this portfolio is 1.25.

Index put options trade on the S&P/ASX200

index with a strike price of 6900.

Calculate the

number of index put options required to fully hedge this share portfolio.

Note that S&P/ASX200 index

options have a standard multiplier of $A10. Round your answer to the

nearest whole number.

The S&P/ASX200 market index is currently 6800. You predict that the market will rise substantially in coming weeks and are prepared to speculate on this prediction.

You enter 40 long call options written on the S&P/ASX200 index. The options have a strike price of 7100.

On the expiry date of these options, the S&P/ASX200 index sits at 7050.

What is the gross payoff (in dollars) on your index option speculation?

Note that S&P/ASX200 index

options have a standard multiplier of $A10.  Do

You are bullish on the prospects of ABC share price rising. There are two speculative strategies that you are considering.

• Under the first strategy, you would purchase 100 ABC shares at the spot price of $6.8.
• Under the second strategy, you would enter long European call options covering 1,000 ABC shares. The option has a strike price of $14.6 and can be purchased for a premium of $0.68 per share.

How high must ABC share price rise for the second strategy to become at least as profitable as the first? That is, at what share price do the two strategies provide the same profit?

Enter your answer to 2 decimal places.

The price of a stock is $35.6. A call option on this stock has a strike price of $35 and is quoted at $1.6.

You enter a short position in this European call option.  One option contracts covers 100 underlying shares. 

The call option is exercised when the stock price is $37.4. Calculate your total net loss:

The price of a stock on July 1 is $90. A trader enters a long call option on this stock with a strike price of $95.

The quoted option price is $4. One option contract covers 100 shares.

If the call option is exercised when the stock price is $108, what is the trader’s net profit is:

Commonwealth Bank (CBA) shares are currently trading at $75. Two months from now, CBA will pay a dividend of $2.9 per share. If the riskless interest rate is 8% pa, what is the fair forward price ("F") for delivery of CBA shares in 7 months time?

Enter your answer to 2 decimal places. Do not enter the dollar sign "$".

CSL shares are currently trading at $290. Assume that CSL pays no dividends. The riskfree rate is 9% pa.,

Calculate the fair forward price ("F") for delivery of CSL shares in 14 months time?

Enter an answer to 2 decimal places. Do not enter the dollar sign "$".

The spot exchange rate between Australia and New Zealand is AUD 1.00 = NZD 1.36. Interest rates in Australia and New Zealand are 4% and 7% per annum respectively.

Calculate the fair forward price for delivery of one NZD in 6 months time.

Your answer will be expressed in terms of AUD. Give an answer to 4 decimal places.