Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Consider the following 4 options on TSLA: (1) 1-year 30-delta call, (2) 1-year 30-delta put, (3) 2-year 70-delta put, (4) 2-year 70-delta call. (a) Which

image text in transcribed

"Consider the following 4 options on TSLA: (1) 1-year 30-delta call, (2) 1-year 30-delta put, (3) 2-year 70-delta put, (4) 2-year 70-delta call. (a) Which of the 4 option's strike price is the closest to the strike price of a 1-year 70-delta call? (b) If we are long 1 million shares on each of the options and want to neutralize the delta exposure of each option contract separately with TSLA stock, which of the 4 option contracts needs the most long stock position to neutralize its delta? and (c) which of the 4 option contracts needs the most short stock position to neutralize its delta? (d) What's the total delta of the portfolio that includes 1 million shares long position in each of the 4 option contracts (Answer the questions using a clean integer number with no comma, no decimal, no parentheses)

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Financial Management for Public Health and Not for Profit Organizations

Authors: Steven A. Finkler, Thad Calabrese

4th edition

133060411, 132805669, 9780133060416, 978-0132805667

More Books

Students also viewed these Finance questions