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11/20/14                  Current Stock Price                           126.92                                                                       

                                                                                                                                   

Calls    expire Jan 2015                                                                   

                                                                                                                                   

Strike Price

Closing Price

Change

Volume

Open Interest

105

 $22.50

 $-  

 39

 5,200

110

 $17.76

 $0.34

 1

 7,070

115

 $13.32

 $0.43

 71

 4,994

120

 $9.40

 $0.35

 293

 22,458

125

 $5.94

 $0.41

 308

 16,811

130

 $3.49

 $0.21

 156

 15,516

135

 $1.80

 $0.14

 415

 23,683

 

 

 

 

 

                                                                                                           

Puts    expire Jan 2015       

Strike Price

Closing Price

Change

Volume

Open Interest

105

 $0.95

 $-  

 211

 10,296

110

 $1.55

 $0.04

 25

 10,303

115

 $2.50

 $0.02

 742

 7,673

120

 $4.10

 $0.02

 106

 3,882

125

 $6.55

 $0.05

 20

 2,668

130

 $9.80

 $0.60

 1

 728

135

 $13.85

 $-  

 74

 1,218

                       

Assume your relative buys the stock at the current price and you buy the 120 call at the values given above.      Assume at the expiration date, the stock is selling for $130 per share.  Calculate the Holding Period Return (HPR (*)) for each strategy.                                                                                                             

                                                                                                                                   

                                                                                                                                   

                                                                                                                                   

                                                                                                                                   

                                                                                                                                   

Change the assumption from the 120 call to the 125 put with the stock closing at $120.  What is this HPR for the two positions?                                                                                                                    

                                                                                                                                   

                                                                                                                                   

                                                                                                                                   

                                                                                                                                   

If you purchased the 125 (strike price) call and sold the 130 call, and the stock closed at $138? What is your HPR?                                                                                                      

                                                                                                                                   

                                                                                                                                   

                                                                                                                                   

                                                                                                                                   

Assume you buy the stock and sell the 125 call and 120 put.  (You receive the option premiums). Assume stock closes at $130 and any in the money positions are reversed on this date. This means, if you are in the money, you will buy back your position. What is your HPR? At 130   Net                                               

What is your breakeven stock price if you sell the 115 call and 130 put?                                                                                                                   

                                                                                                                                   

Create a 'synthetic long'; use the closest "in the money options" to do so.                                                                                                                   

                        What is your breakeven points?                                                                                                    

                        (note: there are two of them!)                                                                                                       

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