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A portfolio holds the following options: Portfolio Option Position Option Class Type Position Quantity Time to Expiry Strike Price Delta Class A call long 7,400
A portfolio holds the following options:
| Portfolio Option Position | ||||||
|---|---|---|---|---|---|---|
| Option Class | Type | Position | Quantity | Time to Expiry | Strike Price | Delta |
| Class A | call | long | 7,400 | 3 | 1.7 | 0.42 |
| Class B | call | short | 8,500 | 8 | 1.5 | 0.44 |
| Class C | put | short | 10,000 | 11 | 1.4 | -0.48 |
| Class D | put | long | 7,200 | 4 | 1.4 | -0.53 |
Calculate the delta of the portolio. Give your answer to 3 decimal places.
Delta of the porfolio =
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Fundamentals of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
Concise 6th Edition
324664559, 978-0324664553
