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1. At market open on June 1, 2020, shares of Eli Lilly and Company traded at $154.47 on the NYSE. Assume that the price

 

1. At market open on June 1, 2020, shares of Eli Lilly and Company traded at $154.47 on the NYSE. Assume that the price of a put option on Eli Lilly with delta -0.4062 and gamma 0.0972 was priced at $4. The stock price decreased by a small amount & immediately after market open, so the value of the option increased by $0.11. Find & using delta and gamma.

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