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 (4 points) Q3b. If underlying moves to 1100 the next day, what it the Pnl due to delta / gamma / theta? (4 points) Q3c. Consider the market marker who sold you the calls. How does he hedge initially when stock is at 1000? (4 points) Page 5 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 (4 points) Q3b. If underlying moves to 1100 the next day, what it the Pnl due to delta / gamma / theta? (4 points) Q3c. Consider the market marker who sold you the calls. How does he hedge initially when stock is at 1000? (4 points) Page 5