The Spot Price of the Market Index Is $900

question 14

Multiple Choice

The spot price of the market index is $900.The annual rate of interest on treasuries is 2.4% (0.2% per month) .After 3 months the market index is priced at $920.An investor has a long call option on the index at a strike price of $930.What profit or loss will the writer of the call option earn if the option premium is $2.00?

• A) $2.00 gain
• B) $2.00 loss
• C) $2.01 gain
• D) $2.01 loss

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