Q3. Underlying at 400 with rf=0. You are looking at option chain with DTE of 63. Riskfree rate is zero. You are examining the following put back ratio spread positions: Short 100 puts at strike of 375; IV for the put is 24% annually. Long 200 puts at strike of 350. IV for the put is 27% annually.

Q3a. Calculate delta for each leg as well as for the combination

Q3b. Calculate gamma for each leg as well as for the combination

Q3c. Calculate one day theta for each leg as well as for the combination

Q3d. Calculate vega value for each leg as well as for the combination

Q3e. Market dropped by $20 in a single day, what is your PnL from delta, gamma, and theta if IV did not change for the puts?

Q3f. If IV for 375 PUT goes up from 24% to 26%, and for 350 PUT goes up from 27% to 30%, what is your vega PnL?