You have a portfolio of options on the same underlying as follows. Long 100 calls 0.5Short 500 calls =0.8Short 200 puts =-0.4

a) How many shares would you need to buy or sell to get your portfolio delta neutral?

b) A traded option exists with a 0.45. What position in this traded option would make your portfolio delta neutral?

c) Explain how volatility skew would affect a trader who buys a bull call spread.

Question 8 You have a portfolio of options on the same underlying as follows. Long 100 calls A =0.5 Short 500 calls A =0.8 Short 200 puts A =-0.4 a) How many shares would you need to buy or sell to get your portfolio delta neutral? [3 marks] b) A traded option exists with a A 0.45. What position in this traded option would make your portfolio delta neutral? [4 marks] c) Explain how volatility skew would affect a trader who buys a bull call spread