Question
a) Explain how to calculate the delta of a portfolio of options (see 17.4 of Hull). b) Suppose you are long 50 shares of Tesla
a) Explain how to calculate the delta of a portfolio of options (see 17.4 of Hull).
b) Suppose you are long 50 shares of Tesla stock that you bought at 798. You are also short 100 puts (=one contract) with a strike of 800 and 100 calls (one contract) with a strike of 850 that expire on June 19th. You are given the following information on the deltas of these instruments:
| Position | Quantity | Delta/share | |
| TSLA | 50 | 1 | |
| 850 Call | -100 | -0.4719 | |
| 800 Put | -100 | 0.3954 |
What is the delta of your overall Tesla position? Show the calculations by providing a screenshot from Excel, or your work below.
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