Question
USE EXCEL!!!! Show FORMULAR PLS!!!!!!!! Thanks a lot!!! A financial institution has the following portfolio of options a stock: Type Position Delta of Option Gamma
USE EXCEL!!!! Show FORMULAR PLS!!!!!!!! Thanks a lot!!!
- A financial institution has the following portfolio of options a stock:
Type | Position | Delta of Option | Gamma of Option | Vega of Option |
Call | 2,000 | 0.60 | 2.5 | 0.8 |
Call | 200 | 0.80 | 0.6 | 0.2 |
Put | 2,000 | 0.70 | 1.1 | 0.9 |
Call | 500 | 0.70 | 1.8 | 1.4 |
An option is available with a delta of 0.5, a gamma of 2, and a vega of 1.5.
(a) What position in the traded option and in the stock would make the portfolio both gamma neutral and delta neutral?
(b) What position in the traded option and in the stock would make the portfolio both vega neutral and delta neutral?
(c) Another option with a delta of 0.2, a gamma of 0.5, and a vega of 1 is available. How could the portfolio become delta, gamma, and vega neutral?
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