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Q2a. What is the delta from shorting 10 puts from Q1? How do you hedge that position with stocks? Long or short, how many shares?
Q2a. What is the delta from shorting 10 puts from Q1? How do you hedge that position with stocks? Long or short, how many shares? Q2b. What is the gamma of the 10 short put position, hedged by shares to be delta neutral? If underlying moves down by $5, what is PnL from delta and gamma? Q2c. What is the one day theta value? Q2d. If stock moves up by $5 in one day, what is the total pnl? How do you decompose total pnl to delta/gamma/ theta?
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