QUESTION 11

• Delta of a call option is 0.95. How many units of the underlying stock should you hold to hedge a short position in 300 call option contracts? The contract multiplier is 100.

	a.	28,500
	b.	11,200
	c.	3400
	d.	7,800

QUESTION 12

• Which of the following statements suggests that the call option premium is more sensitive to the underlying price the more the option is in-the-money?

	a.	Delta is an increasing function of the underlying price
	b.	Gamma is positive
	c.	All of the above
	d.	Option premium is a convex function of the underlying price

QUESTION 13

• A trader holds a portfolio with a delta of 0 and a gamma of -5000. Which of the following is true?

	a.	The portfolio is short options, long underlying stock
	b.	The portfolio is short options only, no stock holding
	c.	The portfolio is short stock only, no option holding
	d.	The portfolio is long options, short underlying stock

QUESTION 14

• Delta of a contract is -1 and gamma is 0. Which type of position is this?

	a.	a long call option
	b.	a short futures contract
	c.	a long futures contract
	d.	a short put option