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Q 4 e . Calculate option price when stock moves $ 9 5 0 . How much of the total PnL of Q 4 d
Qe Calculate option price when stock moves $ How much of the total PnL of Qd is from
option position, and how much is from the stock position? points
note: the TOTAL PnL from options and stocks should match the total PnL from delta and gamma
Qf If underlying moves down from to what is the new delta at stock price of for
your overall position? If you want to rehedge to flatten the delta with underlying shares, what
trade do you need to do in the shares to achieve that? How many shares to trade? Long or short?
points
Qg What is the PnL from the delta and gamma when underlying moves from to
respectively? points
Qh For Qg how much of the total PnL is from option position, and how much is from stock
positions, when underlying moves from to points
Qi If underlying moves up from to If you need to rehedge to flatten delta with
underlying shares, what trade do you need to do in the shares? points
Qe Calculate option price when stock moves $ How much of the total PnL of Qd is from
option position, and how much is from the stock position? points
note: the TOTAL PnL from options and stocks should match the total PnL from delta and gamma
Qf If underlying moves down from to what is the new delta at stock price of for
your overall position? If you want to rehedge to flatten the delta with underlying shares, what
trade do you need to do in the shares to achieve that? How many shares to trade? Long or short?
points
Qg What is the PnL from the delta and gamma when underlying moves from to
respectively? points
Qh For Qg how much of the total PnL is from option position, and how much is from stock
positions, when underlying moves from to points
Qi If underlying moves up from to If you need to rehedge to flatten delta with
underlying shares, what trade do you need to do in the shares? points
Show calculations
Qe Calculate option price when stock moves $ How much of the total PnL of Qd is from
option position, and how much is from the stock position? points
note: the TOTAL PnL from options and stocks should match the total PnL from delta and gamma
Qf If underlying moves down from to what is the new delta at stock price of for
your overall position? If you want to rehedge to flatten the delta with underlying shares, what
trade do you need to do in the shares to achieve that? How many shares to trade? Long or short?
points
Qg What is the PnL from the delta and gamma when underlying moves from to
respectively? points
Qh For Qg how much of the total PnL is from option position, and how much is from stock
positions, when underlying moves from to points
Qi If underlying moves up from to If you need to rehedge to flatten delta with
underlying shares, what trade do you need to do in the shares? points
Show calculations
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