Harold Owns 10,000 Shares of IBM at $54

question 6

Multiple Choice

Harold owns 10,000 shares of IBM at $54.50 per share.He writes $55 strike covered call on all the shares.Assume = 0.14,σ = 0.18,rf = 0.04,and the options expire in 90 days.What is the value at risk for 1 day,using the delta approximation at a 95% confidence level?

• A) $4,717
• B) $5,717
• C) $6,717
• D) $7,717

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Definitions:

Repulsed Feeling

An intense feeling of disgust or aversion towards something or someone.

Serial Position Effect

The finding that, for information learned in a sequence, recall is better for the beginning and ending items than for the middle items in the sequence.

Phi Phenomenon

The optical illusion of perceiving continuous motion between separate objects viewed rapidly in succession.

Implicit Memory Effect

A phenomenon where previous experiences aid the performance of a task without conscious awareness of these previous experiences.