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9 . The Derivatives Desk has sold a $ 1 bn 1 Y ATM call option at 1 6 % volatility. A new virus variant

9 .

The Derivatives Desk has sold a $

1

1

Y ATM call option at

16 %

volatility. A new virus variant starts to spread out and the

1

Y volatility increases by

5

vol point. What gain

/

loss do you estimate for the Desk?

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