Question
Goldman Sachs sells out of the money call options on 100,000 shares of Amazon where S0 = 2900. The options Greeks are = 0.33 and
Goldman Sachs sells out of the money call options on 100,000 shares of Amazon where S0 = 2900. The options Greeks are = 0.33 and = 0.002 (each per share). i] How does GS hedge this sale with a stock trade? ii] How much does GS make or lose in one day due to Gamma if Amazon decreases to S1 day = 2800?
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Focus On Personal Finance
Authors: Jack Kapoor, Les Dlabay, Robert J. Hughes, Melissa Hart
7th Edition
1265521972, 978-1265521974
