Question
You are a trader for Georgetown Asset Management. After learning about IBM's recent news announcement you decide to try a new trading strategy on IBM
You are a trader for Georgetown Asset Management. After learning about IBM's recent news announcement you decide to try a new trading strategy on IBM stock's options. IBM's current stock price is $119. The new trading strategy involves buying a call option and shorting a put option on IBM stock. Both the call and put options have a 3-month maturity and a strike price of $117. IBM stock return's annual volatility is 0.21. The risk free interest rate is 5% per year, compounded continuously. Your risk manager wants to understand the exposure of your new trading strategy. What is your new trading strategy's option delta? Round your answer to 2 decimal places.
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