The gamma of a delta-neutral portfolio is 300. What is the impact of a sudden jump of $2 in the price of the underlying asset? (Hint: use Equation 14 on the formula sheet, and assume t can be ignored.)

Question 3 options:

A gain of $600

A gain of $150

A loss of $600

A loss of $150

Question 4(3 points)

The current USD/euro exchange rate is 1.2100 dollar per euro. The 3-month forward exchange rate is 1.2060. The 3-month USD interest rate is 1% per annum continuously compounded. What is the 3-month euro interest rate?

Question 4 options:

1.33%

1.66%

1.99%

2.33%

Question 5(3 points)

A trader writes 1 naked put option contracts on a stock, with each contract being on 100 shares. The option price is $3, the time to maturity is 6 months, and the strike price is $20. What is the margin requirement if the stock price is $22?

Question 5 options:

$460

$480

$500

$660