At the present time BAC is selling for 9.52. Its 18 day 10 dollar calls have these
Question:
At the present time BAC is selling for 9.52. Its 18 day 10 dollar calls have these Greeks: Δ = 0.3366, Γ = 0.3509, ν = 0.0077 (directly from a brokers web site).
(a) What are the corresponding Greeks of the 18 day 10 dollar puts? The 46 day 10 dollar calls have these Greeks: Δ = 0.388, Γ = 0.277, ν = 0.0129.
(b) Set up a delta-gamma neutral portfolio in BAC.
(c) Set up a delta-vega neutral portfolio in BAC.
(d) Can the implied volatility be calculated from these data? Explain.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
To calculate the corresponding Greeks for options with different strikes and expirations you can use the concept of the Greeks relationships with resp...View the full answer
Answered By
ANDREW KIPRUTO
Academic Writing Expert
I have over 7 years of research and application experience. I am trained and licensed to provide expertise in IT information, computer sciences related topics and other units like chemistry, Business, law, biology, biochemistry, and genetics. I'm a network and IT admin with +8 years of experience in all kind of environments.
I can help you in the following areas:
Networking
- Ethernet, Wireless Airmax and 802.11, fiber networks on GPON/GEPON and WDM
- Protocols and IP Services: VLANs, LACP, ACLs, VPNs, OSPF, BGP, RADIUS, PPPoE, DNS, Proxies, SNMP
- Vendors: MikroTik, Ubiquiti, Cisco, Juniper, HP, Dell, DrayTek, SMC, Zyxel, Furukawa Electric, and many more
- Monitoring Systems: PRTG, Zabbix, Whatsup Gold, TheDude, RRDtoo
Always available for new projects! Contact me for any inquiries
1+ Reviews
10+ Question Solved
Related Book For 
Question Posted:
