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A financial institution has the following portfolio of over-the-counter options on XYZ stock. Type Position (# of Option) Delta of Option Short Call 1,000 0.50
A financial institution has the following portfolio of over-the-counter options on XYZ stock.
| Type | Position (# of Option) | Delta of Option |
|---|---|---|
| Short Call | 1,000 | 0.50 |
| Short Call | 500 | 0.80 |
| Short Put | 2,000 | -0.40 |
| Short Call | 500 | 0.70 |
what position in XYZ stock would make the portfolio delta neutral?
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The Future For Investors
Authors: Jeremy Siegel
1st Edition
140008198X, 978-1400081981
