What is the price of a $25 strike call? Assume S = $23.50, σ = 0.24, r = 0.055, the stock pays a 2.5% continuous dividend and the option expires in 45 days?

What is the price of a $30 strike put? Assume S = $28.50, σ = 0.32, r = 0.04, the stock pays a 1.0% continuous dividend and the option expires in 110 days?

What is the delta on a $20 strike call? Assume S = $22.00, σ = 0.30, r = 0.05, the stock pays a 1.0% continuous dividend and the option expires in 80 days?

What is the delta on a $25 strike put? Assume S = $24.00, σ = 0.35, r = 0.06, the stock pays a 2.0% continuous dividend and the option expires in 40 days?

Assume that a $50 strike call has a 3.0% continuous dividend, σ = 0.27, r = 0.06 and 60 days from expiration. What is the gamma for a stock price movement from $48.00 to $49.00?

Assume that a $55 strike call has a 1.5% continuous dividend, r = 0.05 and the stock price is $50.00. If the option has 45 days until expiration, what is the vega given a shift in volatility from 33.0% to 34.0%?

Suppose the spot exchange rate is $1.43 per British pound and the strike on a dollar denominated pound call is $1.30. Assume r = 0.045, r_{f }= 0.06, σ = 0.15 and the option expires in 180 days. What is the call option price?

Suppose the spot exchange rate is $1.22 per British pound and the strike on a dollar denominated pound put is $1.20. Assume r = 0.04, r_{f }= 0.05, σ = 0.20 and the option expires in 270 days. What is the put option price?

Suppose the 180-day futures price on gold is $110.00 per ounce and the volatility is 20.0%. Assume interest rates are 3.5%. What is the price of a $120 strike call futures option that expires in 180 days?

Suppose the 120-day futures price on gold is $115.00 per ounce and the volatility is 20.0%. Assume interest rates are 3.5%. What is the price of a $110 strike call futures option that expires in 120 days?

Assume that a $60 strike call has a 2.0% continuous dividend, r = 0.05, and the stock price is $61.00. What is the theta of the option as the expiration time declines from 60 to 50 days?

Assume that a $75 strike call has a 1.0% continuous dividend, 90 days until expiration and stock price of $72.00. What is the rho of the option as the interest rate changes from 6.0% to 5.0%?

Suppose a $60 strike call has 45 days until expiration and pays a 1.5% continuous dividend. Assume S = $58.50, σ = 0.25, and r = 0.06. What is the option elasticity given an immediate price increase of $1.50?

Assume that an investor is currently holding a reverse straddle position (i.e. a short put and short call), which is currently a profitable investment. All else being equal, what would this investor like to happen to vega?

What is the total dollar cost to create a delta hedge position against a 200 short call position? Assume calls are priced at $4.16, the delta is 0.7644, and stock price is $73.00.

Assume S = $33.00, σ = 0.32, r = 0.06, div = 0.01. You short 100 $35 strike calls at 68 days until expiration. Under a delta hedge position, what is your overnight profit/loss if the stock rises to $34.50?

Assume that a $50 strike put pays a 2.0% continuous dividend, r = 0.07, σ = 0.25, and the stock price is $48.00. What is the profit or loss, per share, for a short put position if the option expires in 60 days and the price rises to $50.00 after 5 days?

Assume S = $33.00, σ = 0.32, r = 0.06, div = 0.01. You short 100 $35 strike puts at 68 days until expiration. Under a delta hedge position, what is your overnight profit/loss if the stock rises to $34.50? Assume no cost to short stock.

What is net dollar gain or cost required to create a short put delta hedge against a 100 short put position? Assume puts are priced at $1.98, the delta is 0.489, the stock price is $34.50, and no cost to short stock.

Given the following data, what is the approximate implied volatility? Assume S = $38.50, K = $40, r = .06, Call price = $1.60 the stock pays no dividend and the option expires in 45 days.

Given the following data, what is the approximate implied volatility? Assume S = $41, K = $40, r = .08, Call price = $2.70 the stock pays no dividend and the option expires in 90 days.