A long call has a delta of .75, what is the probability it will be in the money (D > .5)? b. A short call
A long call has a delta of .75, what is the probability it will be in the money (D > .5)? b. A short call has a delta of .10, what is the probability it will be out of the money (D < .5)? c. If the VIX is 20 and the S & P 500 is 4200, provide the 1-day probability range at 68% and 95%. d. You have shorted a one day put with a strike of 4000 and the Index is 4200. The VIX is 20. Assess the risk.
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Authors: Steve Preda
1st Edition
0998447846, 978-0998447841
