**CAN YOU SHOW YOUR CALCULATIONS**

PROBLEM 2: Suppose that a market-maker starts the day with no options, and no shares of the underlying stock. The market-maker reviews and rebalances their position throughout the day to become delta-neutral. Each option represents 100 shares of stock, and all options have the same expiration date. Use 2 decimals in your answers; fractional shares of stock are OK. a) At the end of the first hour of trading, the market-maker has the following inventory: - Short 7$137 calls ( delta =0.8240) - Long 2$137 puts (delta =0.6436) - Short 4$138 calls ( delta =0.7495) - Short 9 \$138 puts (delta =0.3872) - Long 5$139 calls ( delta =0.6935) - Long 1$139 puts (delta =0.4356) - Short 6$140 calls ( delta =0.6125) - Long 3 \$140 puts (delta =0.4726)