4.18.2005

Q&A: What's the expiration-day P&L for the protective put...

...if an investor purchases 100 shares of a stock for $50/share, buys put options on that stock with an exercise price of $38 for a premium of $3/share, and the expiration-day price is $55?

CppQuant Answer

Value of protected put = value of underlying + value of put call = ($55-50-3) * 100 = $200.

Bonus Points

  • Protective Put = Stock + a Long Put
  • Investors would likely buy a protective put (portfolio insurance) if they are concerned about a downward price movement in the stock.

Category: C++ Quant > Derivatives > Options

_

naked short?

Elsewhere on BlogSpot

10/31/2004 11/06/2004
RANDOM ROGER S BIG PICTURE - This is a stock market blog about portfolio management, navigating the current ... Hopefully a sense of patience about portfolio management comes through in ...

ANAQUA I/P Management Software News and Information...
I/P UPDATES - Through ANAQUA, IP leaders gain visibility into their global portfolio and ... import exclusion, enforcement, and portfolio management and measurement at ...

Social Security program design and alternatives
FESTER S PLACE - Individual management or selected portfolio management of funds. Must provide significantly above risk adjusted rates of return to improve the median ...

Theories of Innovation Management News and...
I/P UPDATES - In these theories, innovation management is explained by combinations ... import exclusion, enforcement, and portfolio management and measurement at each ...

Critical Montages
IWS DOCUMENTED NEWS SERVICE DAILY POSTINGS - Seeking support for a plan that would allow private investment managers to run part of New Jersey s $60 billion pension portfolio, the McGreevey ...

No comments:

Post a Comment