This is an option chain for options that expires in 110 days. You can assume T =
ID: 2817458 • Letter: T
Question
This is an option chain for options that expires in 110 days. You can assume T = 0.3 year and there is no bid-ask spread, i.e. each option can be bought
and sold at the same price.
calls
strikes
puts
13.46
11.81
10.26
8.83
7.53
6.36
50
52
54
56
58
60
0.66
1.00
1.44
2.00
2.68
3.50
For a call-constructed 50-60 bear spread, what is the profit or loss when the underlying spot price is 55 at expiration?
A. -5.00 B. 8.46 C. 2.10 D. -11.36
calls
strikes
puts
13.46
11.81
10.26
8.83
7.53
6.36
50
52
54
56
58
60
0.66
1.00
1.44
2.00
2.68
3.50
Explanation / Answer
Bear call spread, also known as short call spread, is a bearish option strategy using two call options – one short call with a lower strike and one long call with a higher strike.
Profit = short call price with lower strike price - long call price with higher strike price - max(0, stock price - strike price)
= 13.46 - 6.36 - max(0, 55-50) = $2.10
correct answer is option C.
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