Question
This is a practice question for my final not homework of any kind 22. You are long the 105 call on 100,000 shares. Market pricedeltagammavegatheta
This is a practice question for my final not homework of any kind
22.You are long the 105 call on 100,000 shares.
Market pricedeltagammavegatheta
XYZ Stock1001000
XYZ Call 105 strike, 1 month1.250.290.047.099-.044
a.How would you set up a delta hedge for this position?
b.What would the overall hedged position be worth?(What is the net cost to set it up?)
c.What are the Greek letter exposures for the overall position?
Tomorrow, XYZ stock opens at 105.Here is the new set of option prices and Greek letters.
Market pricedeltagammavegatheta
XYZ Stock105
XYZ Call 105 strike, 1 month3.250.5400.053.119-.059
d.If you liquidated right now, what would the profit or loss on the hedged position be?
e.If you don't liquidate, what stock trade will you need to do to become delta neutral again?
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