A banks position in options on the dollar-euro exchange rate has a delta of 30,000...
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Finance
A banks position in options on the dollar-euro exchange rate has a delta of 30,000 and a gamma of -85,755. The exchange rate (dollars per euro) is 0.90. For delta neutrality 30,000 euros should be shorted.
After a short period of time, the exchange rate moves to 0.85. What is the new delta?
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