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What value does a put option’s delta approach as it moves deeper in-the-money?

You are holding a 60.90 call option with a delta of 0.72. The option will expire in 187 days and the underlying stock is currently trading at 64.00. The risk-free rate is 5.30% and N(d2) = 0.69.  What is the value of the call?

You own 100 shares of HAT stock. You bought one put on HAT with a strike of $65.80 when puts were trading at $9.47 and the stock was trading at $65.80. Now, HAT is trading at $71.00. The option will expire today. Identify this strategy. Why would an investor do this? What is the net profit/loss of this strategy? At what stock price does the strategy breakeven?

You own 100 shares of LUV stock. You wrote one call on LUV with a strike of $70.90 when calls were trading at $9.50 and the stock was trading at $70.90. Now, LUV is trading at $63.00. The option will expire today. Identify this strategy. Why would an investor do this? What is the net profit/loss of this strategy? At what stock price does the strategy breakeven?

The Black Scholes model that we learned about in this class can be used to value which type of option?

Use the binomial option pricing model to find the put premium for the stock in Question #19.

Call premium ____________  as interest rates rise.

Put premium _____________ at higher strike prices.

Assume that the value of the call in Question #21 is $6.00. Use the data provided in #21 and put-call parity to find the put premium. (Note: The put and call have identical strikes and identical expiration dates).

Just pick answer A again.