Build a database of stock prices over an extended historical period. Use these prices to study the development of option strategy payoffs.

INSTRUCTIONS TO CANDIDATES

ANSWER ALL QUESTIONS

Build a database of stock prices over an extended historical period. Use these prices to study the development of option strategy payoffs.

Requirements

1. Construct payoff tables and graphs for each of the following strategies for each of your four companies:

a. Covered call or protective put

b. Floor or cap

c. Bull or bear spread

d. Long or short straddle

e. Short or long strangle (opposite of straddle choice)

f. Ratio spread (pick ratio)

g. Collar, long or short

h. Symmetric butterfly

For each strategy, pick three possible (sets of) strike prices - ATM, ITM, and OTM - that works for your data.

2. Look at your stock prices for years 2018-2022. Choose two dates for each year, one in the first half and one in the second half. Construct a time plot of the stock prices.

For each selected date, find the payoff of each strategy (using the strikes you defined in Task 1); construct a table and time plot(s) of the data, comparing the results for the companies.

Discuss any patterns in this data. Are there any conclusions to draw?

Report Format

The general project report format has these elements:

⚫ Title page - Course, Project title, Name

Page numbers

Contents list

Properly written/annotated content

. Reference list

Attachments:

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