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Max is interested in trying out a long-term strap strategy on Facebooks stock. So he decides to try the following: buy 2 call options and
Max is interested in trying out a long-term strap strategy on Facebooks stock. So he decides to try the following: buy 2 call options and buy 1 put option. The call and put option have a strike price of $2,052 and a maturity of 4 years. The continuously compounded interest rate is 0 per annum. The annual volatility of the stock return is 0.3. Facebooks stock price $2,052 currently. Whats the option delta for this strap strategy?
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