MFIN 902 Managerial Finance II Homework / February 2014
OPTIONS REAL‐TIME DATA ANALYSIS
Student : Emre ŞEN No : 20130334
OPTIONS REAL-TIME DATA ANALYSIS February 2014
MFIN 902 / Managerial Finance II Page 2 / 5
I have chosen Cisco Systems, Inc. (CSCO) with the following introduction and stock performance for last one year.
Services Offered By CISCO Routing TelePresence Wireless LAN Switching Web Conferencing x86 Blade Servers Storage Area Networks
Revenues
Annual Earnings and Estimates
N
Se
OPTIONS REAL-TIME DATA ANALYSIS February 2014
MFIN 902 / Managerial Finance II Page 3 / 5
Answer A I have chosen Cisco Systems, Inc. (CSCO) Answer a. Stock: CISCO S (Current Stock Price) : 22.32 Option Maturity : January 2016
Strike Call Option Put Option Price Price Price
13.00 9.3 0.35
15.00 7.35 0.64
18.00 4.75 1.4
20.00 3.45 2.18
22.00 2.47 3.2
25.00 1.38 5.15
27.00 0.93 6.65
30.00 0.51 9.2
32.00 0.34 11
35.00 0.19 13.65
According to the table and graph above, as strike (exercise) price increases; Call option values decreases Put option values increases
0
2
4
6
8
10
12
14
16
13.00 15.00 18.00 20.00 22.00 25.00 27.00 30.00 32.00 35.00
O p ti o n P ri ce ( U SD
)
Strike Price (USD)
Call Option
Put Option
OPTIONS REAL-TIME DATA ANALYSIS February 2014
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Answer B
Strike Price Call Options Put Options
Mar-14 May-14 Oct-14 Mar-14 May-14 Oct-14
17.00 5.30 5.30 6.10 0.00 0.03 0.21
18.00 4.30 4.35 4.40 0.00 0.07 0.34
19.00 3.30 3.35 3.50 0.00 0.13 0.52
20.00 2.34 2.48 2.75 0.03 0.26 0.78
21.00 1.41 1.68 2.08 0.09 0.49 1.13
22.00 0.66 1.04 1.51 0.33 0.86 1.59
23.00 0.21 0.58 1.06 0.88 1.41 2.14
24.00 0.05 0.29 0.71 1.70 2.11 2.81
25.00 0.01 0.13 0.46 2.67 2.93 3.55
26.00 0.00 0.05 0.29 3.65 3.85 4.35
The table and graphs above show that maturity means higher prices for both puts and calls.
OPTIONS REAL-TIME DATA ANALYSIS February 2014
MFIN 902 / Managerial Finance II Page 5 / 5
Answer C Using the following variables
Option Maturity : May 2014
S : 22.32
Risk Free Rate : 0.10% (US Treasury 1 Year Bill)
N (3 months) : 0.25
Discount Factor : 0.99975
We will check if the following equation holds approximately
Put + Stock = Call + PV (Exercise)
Strike Price
Call Put Put+Stock Call + PVX Difference
May-14 May-14
17.00 5.30 0.03 22.35 22.30 0.05
18.00 4.35 0.07 22.39 22.35 0.04
19.00 3.35 0.13 22.45 22.35 0.10
20.00 2.48 0.26 22.58 22.48 0.10
21.00 1.68 0.49 22.81 22.67 0.14
22.00 1.04 0.86 23.18 23.03 0.15
23.00 0.58 1.41 23.73 23.57 0.16
24.00 0.29 2.11 24.43 24.28 0.15
25.00 0.13 2.93 25.25 25.12 0.13
26.00 0.05 3.85 26.17 26.04 0.13
According to the results above the equation holds.
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