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Imagine you are short 1x delta 50 put (ATM, strike 100€) and 2x long a delta 10 put (OTM, strike 60€). What happens to y
Posted: Wed May 18, 2022 11:33 pm
by answerhappygod
- Imagine You Are Short 1x Delta 50 Put Atm Strike 100 And 2x Long A Delta 10 Put Otm Strike 60 What Happens To Y 1 (19.2 KiB) Viewed 96 times
Imagine you are short 1x delta 50 put (ATM, strike 100€) and 2x long a delta 10 put (OTM, strike 60€). What happens to your greek exposure (Vega, Gamma, Delta) when the underlying ticks down to 80€? Please share a detailed explanation for your answer. Please provide your answer in the following editor