Question
Pick one put option contract whose time to maturity was at least 30 calendar days and that was in the money at expiration. Assume the
Pick one put option contract whose time to maturity was at least 30 calendar days and that was "in the money" at expiration. Assume the company sold 1K such contracts.
Perform delta-hedging in Excel showing all your steps. Indicate at which days for that period the company has to buy/sell stock when performing "stop-loss" hedging.
Historical option contracts offered for company A on 8/15/2019. Underlying price is $69.50
Expiration | Strike | Last | Bid | Ask | Vol | OpInt | T1OpInt | IVMean | IVBid | IVAsk | Delta | Gamma | Theta | |
8/16/19 | 60 | 0.02 | 0.01 | 0.03 | 200 | 952 | 922 | 1.2329 | 2.0245 | 2.3426 | 0 | 0.0001 | -0.1908 | |
8/16/19 | 90 | 14 | 18 | 22.55 | 0 | 0 | 0 | 0.9777 | 0 | 9.2714 | -1 | 0 | 2.0672 | |
9/20/19 | 55 | 0.11 | 0.08 | 0.2 | 15 | 25 | 21 | 0.4343 | 0.3976 | 0.471 | -0.034 | 0.008 | -3.6055 | |
9/20/19 | 100 | 0 | 28.05 | 32.55 | 0 | 0 | 0 | 0.2708 | 0 | 1.1395 | -1 | 0 | 2.2902 | |
11/15/19 | 47.5 | 0.43 | 0.03 | 0.28 | 0 | 50 | 50 | 0.4004 | 0.33 | 0.4708 | -0.0209 | 0.0036 | -1.3637 | |
11/15/19 | 87.5 | 12.1 | 15.5 | 20.2 | 0 | 0 | 0 | 0.3235 | 0 | 0.5753 | -0.903 | 0.0152 | -2.0079 | |
11/15/19 | 90 | 13.75 | 18 | 22.75 | 0 | 0 | 0 | 0.3391 | 0 | 0.6191 | -0.9189 | 0.0127 | -1.609 |
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