Question
SPY trading at 470. You are interested in a PUT option with 25 delta (ie delta per PUT is -0.25). Annual sigma is $125. DTE
SPY trading at 470. You are interested in a PUT option with 25 delta (ie delta per PUT is -0.25). Annual sigma is $125. DTE is 20 days. Q2b. You bought 50 put contracts with 25 delta. Market moved downward by $5 the next day. You did not hedge your put position. What is PnL from delta / gamma/ theta respectively? (4 points) (note: each contract corresponds to 100 shares).
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Personal Financial Planning For Executives And Entrepreneurs
Authors: Michael J. Nathanson, Jeffrey T. Craig, Jennifer A. Geoghegan, Nadine Gordon Lee, Michael A. Haber, Seth P. Hieken, Matthew C. Ilteris, D. Scott McDonald, Joseph A. Salvati, Stephen R. Stelljes
1st Edition
3030405273, 978-3030405274
