You hold a portfolio of a long position in a call and a long position in a put,both for the same strike and maturity.Which of the following statements is true?
A) When the stock price increases,the rho of the portfolio increases if and only if the call is in-the-money.
B) When the stock price increases,the rho of the portfolio decreases if and only if the call is out-of-the-money.
C) When the stock price increases,the rho of the portfolio increases whether or not the call is in-the-money.
D) When the stock price increases,the rho of the portfolio may increase,decrease or stay constant depending on volatility and depth-in-the-money.
Correct Answer:
Verified
Q25: The gamma of a put is typically
Q26: For options that are at-the-money,which of the
Q27: A stock is trading at $132.A
Q28: Consider options written on a non-dividend-paying stock.Deep
Q29: The price of a European call option
Q30: Theta is always negative except possibly for
Q32: You expect a sizable jump in the
Q33: A stock is trading at $20.A one-month
Q34: A stock is trading at $24.A
Q35: The absolute value of theta is highest
Unlock this Answer For Free Now!
View this answer and more for free by performing one of the following actions
Scan the QR code to install the App and get 2 free unlocks
Unlock quizzes for free by uploading documents