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Pat and Chris are both short 200 six month call options with a strike price of 75 on Noble Energy. Pat's position has been delta
Pat and Chris are both short 200 six month call options with a strike price of 75 on Noble Energy. Pat's position has been delta hedged while Chris' has been delta-gamma hedged. (Chris has access to a six month put option at 72.) The price of Noble is 77, the stock has an annual standard deviation of 28 percent, and the interest rate is 3 percent.
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Financial Reporting And Analysis
Authors: Lawrence Revsine, Daniel Collins, Bruce Johnson, Fred Mittelstaedt, Leonard Soffer
8th Edition
1260247848, 978-1260247848
