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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