An option trader creates a delta-hedged covered call (or “buy-write”) in order to short 200 call options on a stock with a spot price of $200. The stock’s log-return has a volatility of 50 percent per year. The trader chooses to short the OOM calls with a strike price of $230 and five days until expiration (assuming 252 trading days in a year). The appropriate risk-free rate is 4 percent per year. If the price of the underlying were to immediately fall by $20, approximately what gain or loss would the trader experience? Use delta and gamma to calculate the approximation. Enter your answer as a number of dollars, rounded to the nearest $0.0001. Enter gains as positive amounts and losses as negative amounts.

Challenge You are a U.S.-based currency speculator researching call options on the EUR. The currency spot exchange rate is 1.050 USD per 1 EUR. You find that the price of 1.075-strike calls with one-year remaining maturity is 0.06 USD per EUR. If the risk-free rate in USD is currently 5.00 percent and market estimate of the exchange rate’s volatility is 15.00 percent, what EUR risk-free rate is implied by the observed call price? Enter your answer as a percentage, rounded to the nearest 0.0001%.

Which of the following statements regarding West Nile virus (WNV) is correct?

An option trader has a naked option position (recall the four naked option positions are long call, long put, short call, or short put) which has the following greeks: Γ = 0.010 ρ = 1.250 |Δ| (the absolute value of delta) = 0.30 Which position do they have? Hint, short option positions flip the sign of the greeks.

A simple pendulum consists of a small 50.0 g ball hanging on a 0.800 m long thread of negligible mass. The ball is pulled a small angle to one side and released. Find the period (units: Hz) of oscillation for this simple pendulum. NOTE: Watch correct use of rounding and significant figures Enter numerical answer in proper decimal format, not scientific notation Do not enter units with the answer

What is the risk-neutral probability the following call option will finish in-the-money? spot price = $100 volatility = 40 percent strike price = $100 Remaining Maturity = 1 month Risk-Free Interest Rate = 4.88 percent

Zika virus presents the MOST significant risk to individuals who:

Challenge You are a U.S.-based currency speculator researching call options on the EUR. The currency spot exchange rate is 1.050 USD per 1 EUR. You find that the price of 1.025-strike calls with one-year remaining maturity is 0.08 USD per EUR. If the risk-free rate in USD is currently 5.00 percent and market estimate of the exchange rate’s volatility is 15.00 percent, what EUR risk-free rate is implied by the observed call price? Enter your answer as a percentage, rounded to the nearest 0.0001%.

A simple harmonic motion system consists of a small object attached to a light spring which oscillates with no damping on a smooth, horizontal surface. A graph of the x position of the object as a function of time is shown in the figure.  What is the amplitude of the motion?

An option trader creates a delta-hedged covered call (or “buy-write”) in order to short 200 call options on a stock with a spot price of $200. The stock’s log-return has a volatility of 50 percent per year. The trader chooses to short the OOM calls with a strike price of $230 and five days until expiration (assuming 252 trading days in a year). The appropriate risk-free rate is 4 percent per year. If the price of the underlying were to immediately fall by $20, approximately what gain or loss would the trader experience? Use delta and gamma to calculate the approximation. Enter your answer as a number of dollars, rounded to the nearest $0.0001. Enter gains as positive amounts and losses as negative amounts.