1A. Calculate option price when stock moves $80. How much of the total PnL of Q4d is from option

position, and how much is from the hedging position using stocks, when underlying moves from

100 to 80?

1B. If underlying moves down from 100 to 80, what is the new delta at stock price of 80 for your

overall position based on gamma? Recalculate the portfolio delta using option delta expression to

confirm gamma approximation is accurate.? If you need to re-hedge to flatten delta with underlying

shares, what trade do you need to do in the shares to flatten the delta?

1C. What is the PnL from the total delta and gamma when underlying moves from 100 to 120,

respectively? (

1D. For Q4f, how much of the total PnL is from option position, and how much is from the hedging

position using stocks, when underlying moves from 100 to 120?

1E. If underlying moves up from 100 to 120, If you need to re-hedge to flatten delta with

underlying shares, what trade do you need to do in the shares?