rf = 0 and underlying at 100.

Annual stdev of $30. 28 days left for the option before expiration.

Q3. You want to construct a PUT back ratio spread. Long 2 puts with 89 strike, and short 1 put at 95 strike.

Q3a. What is the delta of the position? (2 points)

Q3b. What is the gamma value of the spread (2 points)

Q3c. If underlying did NOT moves for ONE DAY after you put on the put back ratio position, what is the PnL for that day (2 points)?

Q3d. If underlying moves down $5 ONE DAY after you put on the position, what is the PnL due to

i. Delta; ii. Gamma respectively? What is the total PnL (2 points)?

Q3f. If underlying moves up $1 ONE DAY after you put on the position, what is the PnL due to

i. delta ; ii gamma respectively? What is the total PnL (2 points)?