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Dayo is long a bear spread with strike prices 9.00 and 19.00. The options expire in 12 months, the spot price is $12.50, the stock
Dayo is long a bear spread with strike prices 9.00 and 19.00. The options expire in 12 months, the spot price is $12.50, the stock volatility is 55.00%, the risk free interest rate is 5.75% and the stock dividend rate is 0.00. Dayo delta hedges the position initially and then doesn't adjust the delta hedge. One month later the stock price is still the same.
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
