Answered step by step
Verified Expert Solution
Question
1 Approved Answer
You have a portfolio with 20 calls and 10 puts on the same share. The calls have delta 0.6 and the puts have delta -0.4.
You have a portfolio with 20 calls and 10 puts on the same share. The calls have delta 0.6 and the puts have delta -0.4. Each option is for 100 shares. How many shares would you need to buy or sell so that the portfolio of options and shares is delta neutral? Sell 800 shares Buy 800 shares Sell 8 shares Buy 8 shares
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started