Preparing for your next Quant Interview?
Practice Here!
OpenQuant
All Questions
Next Question
Straddle Strat
00:00:00
3/10
Finance
Parts
Part 1
Part 2

Spread Definitions:

  1. Straddle = +1 call and +1 put on the same strike with the same time to expiration
  2. Call(Put) = +1 call(put) that is more in the money and -1 call(put) that is less in the money with the same time expiration.

Suppose the price of stock ABC is $62, interest rates and dividends are 0, and we are analyzing options expiring in one month.

If the straddle on 60 strike is worth $23, what is the value of the 60 call and 60 put?