Question
Calculate and plot delta and gamma for the trading strategies below (for expiries of 6m, 3m, 1m, 1w and 1d) then explain what you observe
Calculate and plot delta and gamma for the trading strategies below (for expiries of 6m, 3m, 1m, 1w and 1d) then explain what you observe in terms of the strategys payoff and first and second order mathematical derivatives.
a. Butterfly (write two ATM calls and symmetrically around the written calls long one OTM call and long one ITM call)
b. Bull Risk Reversal (long ATM call, short ATM put)
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The Charles Schwab Guide To Finances After Fifty
Authors: Carrie Schwab-Pomerantz, Joanne Cuthbertson
1st Edition
0804137366, 978-0804137362
