Kelly Owns 50,000 Shares of Microsoft at $63

question 10

Multiple Choice

Kelly owns 50,000 shares of Microsoft at $63.60 per share.She buys 20,000 $60 strike calls.Assume = 0.12,σ = 0.23,rf = 0.05,and the options expire in 170 days.What is the value at risk for 2 weeks,using the delta approximation at a 99% confidence level?

• A) $311,463
• B) $411,463
• C) $511,463
• D) $611,463

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Definitions:

Processing Delay

The time taken between the initiation and completion of a process, often referring to the lag in transaction or operational activities.

Collection Float

The time period between when a check is deposited into a bank account and the time the funds are available to the depositor.

Mailing Time

The duration it takes for correspondence to be delivered from the sender to the recipient.

Collection Float

The time period between when a check is deposited and when the funds become available in the recipient's account.