Question
At the close yesterday IBM was down $2.64 per share from the day before. Also, at the close an IBM 138 call was priced yesterday
At the close yesterday IBM was down $2.64 per share from the day before. Also, at the close an IBM 138 call was priced yesterday at $ .98 bid, $1.01 ask, with a delta of .36.This morning, IBM was up $ .50 per share and the option is priced at $1.15 bid, $1.18 ask with a delta of .51. What was the option's gamma if the theta was -.05?
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Basic Finance An Introduction to Financial Institutions Investments and Management
Authors: Herbert B. Mayo
10th edition
1111820635, 978-1111820633
