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Q5. Current underlying price at 100. Mean absolute deviation of 20. Q5a. What is the price of an ATM PUT and ATM CALL? What is

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Q5. Current underlying price at 100. Mean absolute deviation of 20. Q5a. What is the price of an ATM PUT and ATM CALL? What is the delta value of 2 long CALLS? Q5b. If you long 2 ATM CALLS, what position do you take in underlying shares to have a zero-delta position (Note long 2 CALL short underling to go delta zero is same as a straddle)? Q5c. What is the gamma value of your the ATM CALL position, hedged with underlying shares from Q5b? (Note when you double the # of option contracts, you double delta and gamma as well) Q5d. Based on the delta and gamma values above, What is the delta of the above call + underlying hedge position when underlying moves to $120? What is your position PnL? Q5e. Based on the delta and gamma values above, what is the delta of the above hedged call position when underlying moves to $80? What is your position PnL? Q5f. Price the CALL option with X=100 when underlying is at 100, at 120, and at 80. What is the PnL for 1 long X=100 CALL when underlying moved from 100 to 80? what is the PnL for 1 CALL when underlying moved from 100 to 120

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