II.22. You are long the 105 call on 100,000 shares. Market price delta gamma vega theta XYZ Stock 100 0 0 0 XYZ Call 105 strike, 1 month 1.25 0.29 0.047 .099 -.044 a. How would you set up a delta hedge for this position? b. What would the overall hedged position be worth? (What is the net cost to set it up?) c. What are the Greek letter exposures for the overall position? Tomorrow, XYZ stock opens at 105. Here is the new set of option prices and Greek letters. Market price delta gamma vega theta XYZ Stock 105 XYZ Call 105 strike, 1 month 3.25 0.540 0.053 .119 -.059 d. If you liquidated right now, what would the profit or loss on the hedged position be? e. If you don't liquidate, what stock trade will you need to do to become delta neutral again? II.23. XYZ stock is currently at 100. A 3-month 100 strike call is at 8.00. The delta is 0.55. You buy 100 calls and delta hedge by trading 55 shares of stock. a. Do you buy the stock or sell short the stock to set up the hedge? b. Tomorrow, the stock opens at 95. You need to rebalance your position. Will this require buying stock or selling stock? c. The next day, the stock opens up back at 100. You rebalance again. At this point, after rebalancing twice, are you holding a substantially bigger stock position than you did at first, a substantially smaller stock position, or about the same? d. Over the two days, did you make a significant profit, a significant loss, or hardly any profit or loss on your trading