Question
20. 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
20. 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 options gamma?
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Fundamentals Of Financial Institutions Management
Authors: Marcia Cornett, Anthony Saunders
1st Edition
0256253676, 9780256253672
