Q$4.$ Delta and Gamma with Uniform Distribution $(20$ points$)$

Current underlying price at $1000,$ and you expect price at expiration follows uniform distributi

with mean absolute deviation of $200.$

You LONG $100$ PUTs with strike at $900.$

Q$4$a$.$ What is the TOTAL delta of your $100$ LONG PUTs position? $(2$ points$)$

Q$4$b$.$ How many shares do you need in order to offset the option delta from Q$4$a$?$ Do you long or

short the underlying stock $(2$ points$)?$

Q$4$c$.$ What is the total gamma value of your hedged option positions from Q$4$a and Q$4$b$?(2$ points$)$

Q$4$d$.$ For the hedged option position $($LONG PUTs, hedged with shares$),$ what is the PnL from

$($starting$)$ delta, and from gamma respectively, when underlying moves from $1000$ to $950?(3$

points$)$Q$4.$ Delta and Gamma with Uniform Distribution $(20$ points$)$

Current underlying price at $1000,$ and you expect price at expiration follows uniform distributi

with mean absolute deviation of $200.$

You LONG $100$ PUTs with strike at $900.$

Q$4$a$.$ What is the TOTAL delta of your $100$ LONG PUTs position? $(2$ points$)$

Q$4$b$.$ How many shares do you need in order to offset the option delta from Q$4$a$?$ Do you long or

short the underlying stock $(2$ points$)?$

Q$4$c$.$ What is the total gamma value of your hedged option positions from Q$4$a and Q$4$b$?(2$ points$)$

Q$4$d$.$ For the hedged option position $($LONG PUTs, hedged with shares$),$ what is the PnL from

$($starting$)$ delta, and from gamma respectively, when underlying moves from $1000$ to $950?(3$

points$)$Q$4.$ Delta and Gamma with Uniform Distribution $(20$ points$)$

Current underlying price at $1000,$ and you expect price at expiration follows uniform distributi

with mean absolute deviation of $200.$

You LONG $100$ PUTs with strike at $900.$

Q$4$a$.$ What is the TOTAL delta of your $100$ LONG PUTs position? $(2$ points$)$

Q$4$b$.$ How many shares do you need in order to offset the option delta from Q$4$a$?$ Do you long or

short the underlying stock $(2$ points$)?$

Q$4$c$.$ What is the total gamma value of your hedged option positions from Q$4$a and Q$4$b$?(2$ points$)$

Q$4$d$.$ For the hedged option position $($LONG PUTs, hedged with shares$),$ what is the PnL from

$($starting$)$ delta, and from gamma respectively, when underlying moves from $1000$ to $950$

Q$4.$ Delta and Gamma with Uniform Distribution $(20$ points$)$

Current underlying price at $1000,$ and you expect price at expiration follows uniform distribution

with mean absolute deviation of $200.$

You LONG $100$ PUTs with strike at $900.$

Q$4$a$.$ What is the TOTAL delta of your $100$ LONG PUTs position? $(2$ points$)$

Q$4$b$.$ How many shares do you need in order to offset the option delta from Q$4$a$?$ Do you long or

short the underlying stock $(2$ points$)?$

Q$4$c$.$ What is the total gamma value of your hedged option positions from Q$4$a and Q$4$b$?(2$ points$)$

Q$4$d$.$ For the hedged option position $($LONG PUTs, hedged with shares$),$ what is the PnL from

$($starting$)$ delta, and from gamma respectively, when underlying moves from $1000$ to $950?(3$

points$)$

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