Q2. Underlying follows lognormal distribution and is current at $400. All option in this question has 16 days to go before expiration. Riskfree rate is zero and annual vol is 20% for all legs of the options. You long 100x CALL debit spreads, ie: You long 100 CALLs at strike of 400; You short 100 CALLs at strike of 420

Q2a. What is the total delta for your spread position?

Q2b. What are the total gammas for the spread?

Q2c. What is the one-day theta value of your position?

Q2d. If the stock moves up $20 in a single day, what is your PnL from i. delta; ii gamma; and iii theta, as well as the total PnL?

Q2e. If the stock moves down $10 in a single day, what is your PnL from i. delta; ii gamma; and iii theta, as well as the total PnL?