Strike Price 70 75 80 Option Price 7.00 4.50 2.75 Delta 0.61 0.46 0.33 Gamma .027 .028 .029 Theta (annual) -3.75 -3.65 -
Posted: Thu May 05, 2022 7:53 am
- Strike Price 70 75 80 Option Price 7 00 4 50 2 75 Delta 0 61 0 46 0 33 Gamma 027 028 029 Theta Annual 3 75 3 65 1 (6.3 KiB) Viewed 43 times
price three days from today is
70.
b. A portfolio consists of the following:
4 long call options with K=70
3 short call options with K=80
6 long put options with K=75
2 short put options with K=70
N shares of stock
Determine the value of N (which can be positive or negative) so
that the portfolio is delta
neutral.
Strike Price 70 75 80 Option Price 7.00 4.50 2.75 Delta 0.61 0.46 0.33 Gamma .027 .028 .029 Theta (annual) -3.75 -3.65 -3.55