35 Question 5 B0/2 pts 4 19 Details 5 es Coach Gallery The following market information will be used for this problem. Today May 1, 2021 Spot (S/unit) 98 Volatility 18.00% risk-free interest rate 2.00% Dividend yield 0.00% You sell 8,000 European call options with a strike of 93 and maturity July 6, 2022 at fair value. Option information for a variety of stock prices are: Spot Price 96 97 98 99 100 Option Price Option Delta 10.151669 64.8344X 10.809791 66.7796% 11.487049 68.6613X 12.182797 70.4772% 12.896368 T72.2256% Option Delta Shares -5,187 -5,342 -5,493 -5,638 -5,778 Note, the current stock price is in the middle of the table. To hedge your position, how many shares do you buy or sell? Assume you can only trade a whole number of shares. The market moves to 96. You re-balance your delta hedge by buying or selling how many shares? The market moves back to 98. You re-balance your delta hedge by buying or selling how many shares? How much money have you made or lost on your overall position 35 Question 5 B0/2 pts 4 19 Details 5 es Coach Gallery The following market information will be used for this problem. Today May 1, 2021 Spot (S/unit) 98 Volatility 18.00% risk-free interest rate 2.00% Dividend yield 0.00% You sell 8,000 European call options with a strike of 93 and maturity July 6, 2022 at fair value. Option information for a variety of stock prices are: Spot Price 96 97 98 99 100 Option Price Option Delta 10.151669 64.8344X 10.809791 66.7796% 11.487049 68.6613X 12.182797 70.4772% 12.896368 T72.2256% Option Delta Shares -5,187 -5,342 -5,493 -5,638 -5,778 Note, the current stock price is in the middle of the table. To hedge your position, how many shares do you buy or sell? Assume you can only trade a whole number of shares. The market moves to 96. You re-balance your delta hedge by buying or selling how many shares? The market moves back to 98. You re-balance your delta hedge by buying or selling how many shares? How much money have you made or lost on your overall position