SIE Exam Practice Question 742
Question: 742
An investor purchases two puts. The first is a September Theta put at $35, underlying currently selling at $37. The second is a November Delta put at $28, underlying currently selling at $25. Ignoring transaction costs, what is the value of the options?
Correct Answer: C
Explanation:
The Theta option is out-of-the-money, therefore its value is $0. The value of the Delta option is $28 - $25 = $3.
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