Question
A financial institution has the following portfolio of over-the-counter options on sterling: Type Position Delta of option Gamma of option Vega of option Call -1,000
A financial institution has the following portfolio of over-the-counter options on sterling:
| Type | Position | Delta of option | Gamma of option | Vega of option |
| Call | -1,000 | 0.50 | 2.2 | 1.8 |
| Call | -500 | 0.80 | 0.6 | 0.2 |
| Put | -2,000 | -0.40 | 1.3 | 0.7 |
| Call | -500 | 0.70 | 1.8 | 1.4 |
A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega of 0.8.
- What position in the traded option and in sterling would make the portfolio both gamma neutral and delta neutral?
- What position in the traded option and in sterling would make the portfolio both vega neutral and delta neutral?
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Currency Strategy The Practitioners Guide To Currency Investing Hedging And Forecasting
Authors: Callum Henderson
2nd Edition
0470027592, 978-0470027592
