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Q2. You long 10 ATM straddle le 10 call and 10 put both at strike of 100 Q2a. What is the data and gamme value
Q2. You long 10 ATM straddle le 10 call and 10 put both at strike of 100 Q2a. What is the data and gamme value of the position) (2 points)? Q2b. What is the one day theta value for the position? Is it positive or negative? (2 points) 02c. If underlying goes down by $2 in one day, what is the gamma Prl, as well as total Pnl for the posit points)? (hint: total PnL is the sum of Pnl from a delta; b. gamma; c. theta)
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