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Assume you have sold a call option and the delta of your position is -.35. If the price of the underling asset increases by
Assume you have sold a call option and the delta of your position is -.35. If the price of the underling asset increases by $1.80, then what is the best estimate of the change in the call option's price? Would you expect the value of the absolute value of the delta of your position to be larger or smaller if the price of the underlying asset increased by $1.80? Why?
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If the delta of your position is 35 it means that you have sold a call option with a delta of 35 T...
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Financial Markets and Institutions
Authors: Anthony Saunders, Marcia Cornett
6th edition
9780077641849, 77861663, 77641841, 978-0077861667
