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Question 829 option, future, delta, gamma, theta, no explanation

Below are some statements about futures and European-style options on non-dividend paying stocks. Assume that the risk free rate is always positive. Which of these statements is NOT correct? All other things remaining equal:

Question 830 option, delta, gamma, no explanation

Below are some statements about European-style options on non-dividend paying stocks. Assume that the risk free rate is always positive. Which of these statements is NOT correct?

Question 833 option, delta, theta, standard deviation, no explanation

Which of the following statements about an option (either a call or put) and its underlying stock is NOT correct?

(a) The option’s expected future continuously compounded returns are always more than or equal to the underlying stock’s expected future continuously compounded returns.

(b) The option’s standard deviation of dollar price changes is always less than or equal to the underlying stock’s standard deviation of dollar price changes.

(c) The option’s standard deviation of continuously compounded returns are always less than or equal to the underlying stock’s standard deviation of continuously compounded returns.

(d) As time elapses and the maturity date of an option approaches, its price will fall, all other things remaining equal.

(e) If the underlying stock’s price rises by $0.01, the call option’s price will rise by less than $0.01 and the put option’s price will fall by less than $0.01.

Question 834 option, delta, theta, gamma, standard deviation, Black-Scholes-Merton option pricing

Which of the following statements about an option (either a call or put) and its underlying stock is NOT correct?

European Call Option
on a non-dividend paying stock
Description	Symbol	Quantity
Spot price ($)	##S_0##	20
Strike price ($)	##K_T##	18
Risk free cont. comp. rate (pa)	##r##	0.05
Standard deviation of the stock's cont. comp. returns (pa)	##\sigma##	0.3
Option maturity (years)	##T##	1
Call option price ($)	##c_0##	3.939488
Delta	##\Delta = N[d_1]##	0.747891
##N[d_2]##	##N[d_2]##	0.643514
Gamma	##\Gamma##	0.053199
Theta ($/year)	##\Theta = \partial c / \partial T##	1.566433