Suppose a portfolio consists of 100 units of short call options and 60 units of the underlying asset. The call option ha
Posted: Sun May 29, 2022 4:37 pm
Suppose a portfolio consists of 100 units of short call options
and 60 units of the underlying asset. The call option has a delta
of 0.6, a gamma of 1.5, and a vega of 1.2. The options shown in the
table below can be traded. What position in the traded options
would make the portfolio delta, gamma, and vega neutral?
Delta Portfolio 0.6 Option 1 0.5 Option 2 0.4 Gamma 1.5 2.0 0.8 Vega 1.2 1.5 1.0
and 60 units of the underlying asset. The call option has a delta
of 0.6, a gamma of 1.5, and a vega of 1.2. The options shown in the
table below can be traded. What position in the traded options
would make the portfolio delta, gamma, and vega neutral?
- Suppose A Portfolio Consists Of 100 Units Of Short Call Options And 60 Units Of The Underlying Asset The Call Option Ha 1 (16.4 KiB) Viewed 14 times