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2pcs Couple Dinosa... Nouvel onglet 51% + Use the following information for all problems: t = 100 days, r = 2%, S = $45, o
2pcs Couple Dinosa... Nouvel onglet 51% + Use the following information for all problems: t = 100 days, r = 2%, S = $45, o =22% 1. Calculate the delta ( A ) of a Dodger Dog (DD) $45 call option. 2. Suppose you own 5000 shares of stock. How many $45 calls would you need to write to be approximately delta neutral? 3. If you write 15 $60 calls while holding 5000 shares of stock, what percentage of the market risk of the position have you eliminated? You are asked to determine the number of $40 calls and $40 puts that must be purchased to have a delta neutral straddle that costs about $5000. Find the number of contracts of each type of option that satisfies these requirements. 5. Use your answer to problem 4, and assume the following: 15 days have passed, and the stock price has changed to $45. What must you do to return to delta neutrality? Activer Win 6. Suppose you own 12,000 shares of this stock. You want to write $55 calls and buy sso ez aux pa puts to be delta neutral and have as little cash outflow as possible. Solve this using simultaneous equations. Windows E m 3 . C
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