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What view on Rio Tinto stock would justify Roberts decision to decrease the delta of his portfolio? Compute the Delta, Gamma, Vega, Rho and Theta
- What view on Rio Tinto stock would justify Roberts decision to decrease the delta of his portfolio?
- Compute the Delta, Gamma, Vega, Rho and Theta (using calendar days) of Roberts overall option position after trading the additional 6-month call options. Then, explain in plain English the meaning of each computed Greek letters.
- After trading the 6-month call options, Robert shorts 67 shares of Rio Tinto to make his portfolio delta neutral. If the share price of Rio Tinto decreased to $119 instantly, what should Robert do to keep his portfolio delta neutral? What are the risks of a delta neutral position?
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