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Q2. Underlying follows lognormal distribution and is current at $1000. All option in this question has 16 days to go before expiration. Riskfree rate
Q2. Underlying follows lognormal distribution and is current at $1000. All option in this question has 16 days to go before expiration. Riskfree rate is 6% and annual vol is 24% for all legs of the options. You long 100x CALL debit spreads, ie: You long 100 CALLS at strike of 1000; You short 100 CALLS at strike of 1050 Q2a. What is the delta for each contract as well as total delta for your entire spread position? (4 points) Q2b. What are the gammas for each contract as well as total gammas for the spread position? (4 points) Q2c. What is the one-day theta value of your position? (4 points) Q2d. If the stock moves up $25 in a single day, what is your PnL from i. delta; li gamma; and ill theta, as well as the total PnL? (4 points) Q2e. If the stock moves down $100 in a single day, what is your PnL from i. delta; ii gamma; and iii theta, as well as the total PnL? (4 points)
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