Question
Berkshire Hathaway's share price was $267,551 on July 3, 2021. The quote for the call option with a $250,000 strike expiring on August 3, 2021,
Berkshire Hathaway's share price was $267,551 on July 3, 2021. The quote for the call option with a $250,000 strike expiring on August 3, 2021, is $30040/$31900 (bid/offer) and the call option with a strike of $290,000 with the same expiry at $25100/$26900. Assume a 1-month risk-free rate at 0.72 %. Please calculate the price of the short strangle strategy (as demonstrated in the figure below) with the same maturity. What is this position designed to achieve (what would be the motivation of anyone to enter into such trade)? What would be (approximately) delta for such a position?
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