Q2a. What is the delta from shorting 10 puts from Q1? How do you hedge...
70.2K
Verified Solution
Link Copied!
Question
Accounting
Q2a. What is the delta from shorting 10 puts from Q1? How do you hedge that position with stocks? Long or short, how many shares? Q2b. What is the gamma of the 10 short put position, hedged by shares to be delta neutral? If underlying moves down by $5, what is PnL from delta and gamma? Q2c. What is the one day theta value? Q2d. If stock moves up by $5 in one day, what is the total pnl? How do you decompose total pnl to delta/gamma/ theta?
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
- Unlimited Question Access with detailed Answers
- Zin AI - 3 Million Words
- 10 Dall-E 3 Images
- 20 Plot Generations
- Conversation with Dialogue Memory
- No Ads, Ever!
- Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Other questions asked by students
StudyZin's Question Purchase
1 Answer
$0.99
(Save $1 )
One time Pay
- No Ads
- Answer to 1 Question
- Get free Zin AI - 50 Thousand Words per Month
Best
Unlimited
$4.99*
(Save $5 )
Billed Monthly
- No Ads
- Answers to Unlimited Questions
- Get free Zin AI - 3 Million Words per Month
*First month only
Free
$0
- Get this answer for free!
- Sign up now to unlock the answer instantly
You can see the logs in the Dashboard.