Question
Underlying at 4620. 4275 put trades at 25% IV (same put as Q1). 4625 put trades at 19% IV. You set a put front ratio
Underlying at 4620. 4275 put trades at 25% IV (same put as Q1). 4625 put trades at 19% IV.
You set a put front ratio spread: long 1 put at 4625 strike and short 2 puts at 4275 strike.
a) What is the delta for the front ratio spread?
b) What is the gamma of the front ratio spread?
c) what is the one day theta value for the front ratio spread?
d) If SPX drops to 4500 on Monday (one trading day later), what is the PnL from delta, gamma, and theta respectively?
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Managerial Accounting
Authors: Ray H. Garrison, Eric W. Noreen, Peter C. Brewer
13th Edition
978-0073379616, 73379611, 978-0697789938
