The Following Prices Are Available for Call and Put Options

question 41

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.
For questions 1 through 6,consider a bull money spread using the March 45/50 calls.
-Suppose you closed the spread 60 days later.What will be the profit if the stock price is still at $50?

• A)$41
• B)$198
• C)$302
• D)$102
• E)none of the above

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