The Following Prices Are Available for Call and Put Options

question 6

Multiple Choice

The following prices are available for call and put options on a stock priced at $50.The risk-free rate is 6 percent and the volatility is 0.35.The March options have 90 days remaining and the June options have 180 days remaining.The Black-Scholes model was used to obtain the prices.
Use this information to answer questions 1 through 20.Assume that each transaction consists of one contract (for 100 shares) unless otherwise indicated.
Answer questions 12 through 17 about a long straddle constructed using the June 50 options.
-What are the two breakeven stock prices at expiration?

• A)$55.58 and $45.87
• B)$54.13 and $45.87
• C)$55.58 and $44.42
• D)$59.71 and $40.29
• E)none of the above

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