Question
Betty and Bob are long 5,000 shares of XYZ stock, short 20 October 50 calls, and long 35 October 45 puts. Call Delta Put Delta
Betty and Bob are long 5,000 shares of XYZ stock, short 20 October 50 calls, and long 35 October 45 puts.
| Call Delta | Put Delta | |
| October 45 | .60 | - .40 |
| October 50 | .30 | - .70 |
A. Find the equivalent share position.
B. Algebraically find how many October 45 calls they should buy or sell to be delta neutral.
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A Short 20 October 50 Call Short 2010003 Short 600 shares Long 35 Octo...
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Financial Accounting and Reporting
Authors: Barry Elliott, Jamie Elliott
14th Edition
978-0273744535, 273744445, 273744534, 978-0273744443
