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Question: You bought 120 call with 10 days to expiration. Stock now is priced at 100. Annual stdev is $100. a. what is option's delta

Question: You bought 120 call with 10 days to expiration. Stock now is priced at 100. Annual stdev is $100.

a. what is option's delta and gamma and 1-day theta?

b. if stock moves from 100 to 120 OVER TWO DAY PERIODS, what is the pnl due to delta / gamma/ theta respectively?

c. consider the counter party to your trade. How should your counter party hedge their exposure with underlying stocks?

d. what is counter party's pnl over 2 days for their HEDGED POSITION?

List detailed steps including EXCEL function used, if any

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