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A trader creates a long butterfly spread from options with strike prices $60,$65, and $70 by trading a total of 400 options. The options are worth $11,$14, and $18. What is the maximum net gain (after the cost of the options is taken into account)? a. $200 b. $300 c. $100 d. $400 A stock price is currently traded at $100. Over each of the next two six-month periods, it is expected to go up by 10 s of down by 10%. The risk-free rate is 8% per annum with continuous compounding. Suppose that with this stock, European options are available. What is the price of a one-year European call option with a strike price of $100 ? a. $9.61 b. $1.92 c. $6.07 d. $14.21 Clear my choice What is the delta of a short position in 1,000 European call options on silver futures? The options mature in 8 months, and the futures contract underlying the option matures in 9 months. The current 9 -month futures price is $8 per ounce, the exercise price of the options is $8, the risk-free interest rate is 12% per annum, and the volatility of silver futures prices is 18% per annum. a. +233.4 b. None of the other answers provided is correct. c. -735.6 d. -488.6 e. +117.2 A plain vanilla interest rate swap on a notional principal of $100 millions has a remaining life of 10 months. Under the terms of the swap, six-month floating rate is exchanged for a fixed rate of 7% per annum every 6 months. The average of the bid-offer rate being exchanged for six-month floating rate in swaps of all maturities is currently 5% per annum with continuous compounding. The six-month floating rate was 4.6% per annum (compounded semiannually) two months ago. The value of this swap to the party paying the fixed rate is closest to a. $102.72 millions b. \$2.11 millions c. $100.61 millions d. $2.11 millions A trader creates a long butterfly spread from options with strike prices $60,$65, and $70 by trading a total of 400 options. The options are worth $11,$14, and $18. What is the maximum net gain (after the cost of the options is taken into account)? a. $200 b. $300 c. $100 d. $400 A stock price is currently traded at $100. Over each of the next two six-month periods, it is expected to go up by 10 s of down by 10%. The risk-free rate is 8% per annum with continuous compounding. Suppose that with this stock, European options are available. What is the price of a one-year European call option with a strike price of $100 ? a. $9.61 b. $1.92 c. $6.07 d. $14.21 Clear my choice What is the delta of a short position in 1,000 European call options on silver futures? The options mature in 8 months, and the futures contract underlying the option matures in 9 months. The current 9 -month futures price is $8 per ounce, the exercise price of the options is $8, the risk-free interest rate is 12% per annum, and the volatility of silver futures prices is 18% per annum. a. +233.4 b. None of the other answers provided is correct. c. -735.6 d. -488.6 e. +117.2 A plain vanilla interest rate swap on a notional principal of $100 millions has a remaining life of 10 months. Under the terms of the swap, six-month floating rate is exchanged for a fixed rate of 7% per annum every 6 months. The average of the bid-offer rate being exchanged for six-month floating rate in swaps of all maturities is currently 5% per annum with continuous compounding. The six-month floating rate was 4.6% per annum (compounded semiannually) two months ago. The value of this swap to the party paying the fixed rate is closest to a. $102.72 millions b. \$2.11 millions c. $100.61 millions d. $2.11 millions

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