Question
1.You are currently long a QQQ collar strategy that is long 1,000 QQQ ETFs, long 1,000 QQQ December 175 puts and short 1,000 QQQ December
1.You are currently long a QQQ collar strategy that is long 1,000 QQQ ETFs, long 1,000 QQQ December 175 puts and short 1,000 QQQ December 250 calls. The QQQ is currently at 220. The delta of your position is currently 1, while the vega and theta are both zero.
a)If the QQQ opens tomorrow at 175 what do you expect to happen to the delta, vega and theta (increase or decrease)? Explain.
b)If the QQQ opens tomorrow at 250 what do you expect to happen to the delta, vega and theta (increase or decrease)? Explain.
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Basic Finance An Introduction to Financial Institutions Investments and Management
Authors: Herbert B. Mayo
10th edition
1111820635, 978-1111820633
