Q3. You purchased 100 contracts of 1200 strike call for a stock that is worth $1000 with 10 days to expiration. Annual sigma is $800.

Q3a. What are the delta and gamma and theta of the call option

b. If underlying moves to 1100 the next day, what it the PnL due to delta / gamma / theta

Consider the market marker who sold you the calls. How does he hedge initially when stock is at 1000?

How does market maker hedges after stock moves to $1200 the next day? (4 points)

If market maker adjusts annual sigma to $950 after seeing the big movement in stock price, how should his hedging position change?