We can work on Derivatives

AAPL option chain

  1. Using the AAPL option chain and put call parity, assume the at the money strike of 225 and a Rf of 0.50%, also assume the actual mean put quote is $7.00. Derive the riskless arbitrage profits and explain all the arbitrage steps to accomplish this.
  2. Using the AAPL option chain and 350,000 AAPL shares, devise a delta neutral call and put strategy. Prove each assuming a loss of $5 in APPL.  You proof should include delta, gamma, and theta.
  3. Using the AAPL option chain, assume you employ a covered call strategy with 1,000 shares of stock and the correct # of calls. Convert this to a delta neutral hedge with calls.  Calculate the incremental (+ or -) # of calls you need.  Calculate any required margin
  4. Using the AAPL option chain, establish a covered call with 2,000 stock shares. Determine the investment and ROI is S1 is $230 in 3 days.  Use delta, gamma, and theta
  5. Using the AAPL option chain, using the at the money strike (225), if the stock rises by $5, calculate the new value of the call option, the new delta, and the new gamma
  6. Assume you have a $500,000,000 portfolio: 50% equity with a beta of 1.2, and 50% fixed income, corporate bonds, average credit quality of BBB, duration of 5. You wish to design a portfolio: 75% equity asset allocation, beta 1.6, fixed income 25% asset allocation, duration 3. The available futures are: equity index 2,000, multiplier 250, fixed income Tbond $100,000 par, 97 price, 2 duration. The simulation is that in one day the market appreciates by 1.5% and the interest rates fall by 1%. Provide the correct number of contracts and do a proof.
  7. Draw two graphs, one for the price yield relationship of a bond with its duration and convexity and the other a long call with the delta and gamma. Explain the mathematical analogy between delta/ duration and gamma/ convexity. Label all parts of the two graphs.
  8. Using the AAPL option chain, design a short strangle, where Xp = 215, and Xc = 235. If S1 = 225 in two days, calculate the margin, 2-day profit (using delta, theta, and gamma), ROI for 2 days and annualized, maximum gain and maximum loss.
  9. One Period Binomial Model, Using the AAPL option chain, solve for the at the money (X = 225) call and put options. Assume U = 1.2, πu= 0.6, Rf = 0.50%.Show all your work.
  10. Time-adjusted standard deviation. Using the current VIX, (you need to look it up), determine the daily standard deviation, assuming 252 trading days, and the 2-year standard deviation. Explain the relationship between VIX and asset pricing.

Sample Solution

who began smoking marijuana more than once a week before the age of 25 displayed more severely impaired intelligence, slower reaction times, shorter attention spans, and poorer listening skills than those who began using marijuana after the age of 25. A longitudinal study in New Zealand found that persistent marijuana users starting in their adolescence associated with an average loss of 6 to 8 IQ points. Even users who quit in their adulthood after using marijuana heavily as an adolescent could not recover the IQ points that had been lost. On the other hand people who began using marijuana heavily over the age of 25 did not lose IQ points. The areas affected were verbal ability and general knowledge from preteen years. This further proves that marijuana has a much more substantial effect on an adolescent’s growing brain. People who consume marijuana on a regular basis have increased chances of having mental health disorders later in life than those who don’t. While the causal link is not firmly established, depression, anxiety, psychosis and substance abuse disorder are among the most common effects observed in long-term users. Recent research has found that people who use marijuana and carry a specific variant of the AKT1 gene are at an increased risk of developing psychosis. The AKT1 gene codes fo>

 

 

  1. who began smoking marijuana more than once a week before the age of 25 displayed more severely impaired intelligence, slower reaction times, shorter attention spans, and poorer listening skills than those who began using marijuana after the age of 25. A longitudinal study in New Zealand found that persistent marijuana users starting in their adolescence associated with an average loss of 6 to 8 IQ points. Even users who quit in their adulthood after using marijuana heavily as an adolescent could not recover the IQ points that had been lost. On the other hand people who began using marijuana heavily over the age of 25 did not lose IQ points. The areas affected were verbal ability and general knowledge from preteen years. This further proves that marijuana has a much more substantial effect on an adolescent’s growing brain. People who consume marijuana on a regular basis have increased chances of having mental health disorders later in life than those who don’t. While the causal link is not firmly established, depression, anxiety, psychosis and substance abuse disorder are among the most common effects observed in long-term users. Recent research has found that people who use marijuana and carry a specific variant of the AKT1 gene are at an increased risk of developing psychosis. The AKT1 gene codes fo>

Is this question part of your Assignment?

We can help

Our aim is to help you get A+ grades on your Coursework.

We handle assignments in a multiplicity of subject areas including Admission Essays, General Essays, Case Studies, Coursework, Dissertations, Editing, Research Papers, and Research proposals

Header Button Label: Get Started NowGet Started Header Button Label: View writing samplesView writing samples

Custom Written Work

Guaranteed on Time

Achieve the Grade You ordered