Question
Consider the following option portfolio: Options Number Position Strike Premium Delta Vega Put 1 Short 9 2.8824 -0.75 0.24 Call 2 Long 10 3.9594 0.64
Consider the following option portfolio:
| Options | Number | Position | Strike | Premium | Delta | Vega |
| Put | 1 | Short | 9 | 2.8824 | -0.75 | 0.24 |
| Call | 2 | Long | 10 | 3.9594 | 0.64 | 0.11 |
| Call | 2 | Short | 11 | 3.4471 | 0.5 | 0.14 |
| Put | 1 | Long | 12 | 1.6629 | -0.34 | 0.21 |
Calculate the Vega and Delta of the portfolio, estimate the price strategy whether the underlying price moves from 11 to 12, explain how could Vega and Delta hedge the position. For the Hedge you can use a call option with a Delta of 0.55 and vega 0.15.
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Bond Markets Analysis And Strategies
Authors: Frank J. Fabozzi
4th Edition
0130402664, 9780130402660
