Question
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
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 longest stock position to neutralize its delta? and (c) which of the 4 option contracts needs the shortest 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)
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