Question
A 95 strike 3 month put for a current spot at 100 and implied volaility of 30$ has a theta at -9.9132, a gamma of
A 95 strike 3 month put for a current spot at 100 and implied volaility of 30$ has a theta at -9.9132, a gamma of 0.0239 and a vega of 17.8893. Estimate the breakeven for the stock move in a week or t=0.0198, with zero rates. Show all work
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Focus On Personal Finance
Authors: Jack R. Kapoor, Les R. Dlabay Professor, Robert J. Hughes, Melissa Hart
5th Edition
0077861744, 978-0077861742
