Question
On Sept 30th, 2011, Exxon Mobil (XOM) stock was traded at $72.63 while the December XOM put option with $75 exercise price is traded at
On Sept 30th, 2011, Exxon Mobil (XOM) stock was traded at $72.63 while the December XOM put option with $75 exercise price is traded at $5.00 and the December XOM call option with $70 exercise price is traded at $5.60. The put option's delta is -0.65 and the call option's delta is 0.7.
A) On October 3rd, XOM stock price changed to $71.15 on Oct 3rd, what will be the values of the put and call options?
B) Consider a portfolio composed of:
1,005 XOM stocks
20 Dec XOM Call options
37 Dec XOM Put options
What is the portfolio position delta?
C) Using the portfolio position delta, calculate the portfolio value before AND after the stock price change.
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