Question
1.At the close yesterday IBM was down $2.64 per share from the day before. Also at the close, an IBM 138 call was priced yesterday
1.At the close yesterday IBM was down $2.64 per share from the day before. Also at the close, an IBM 138 call was priced yesterday at $ .98 bid, $1.01 ask, with a delta of .36. This morning, IBM was up $ .50 per share and the option is priced at $1.15 bid, $1.18 ask with a delta of .51. What is the option's gamma?
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Public Finance and Public Policy
Authors: Jonathan Gruber
4th edition
1429278455, 978-1429278454
