Question
You own a $10 million position in a stock, which currently trades at $50 a share. A 6-month call option and put option are available
You own a $10 million position in a stock, which currently trades at $50 a share. A 6-month call option and put option are available on the stock, both with a strike price of $50. The call has a delta of 0.5977, and the put has a delta of -0.4023. To create a delta neutral portfolio, you should:
| Buy 300,703 put options.
| ||
| Write 334,616 call options.
| ||
| Buy 334,616 call options.
|
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Financial Services Sales Handbook A Professionals Guide To Becoming A Top Producer
Authors: Clifton T. Warren
1st Edition
1631574930, 978-1631574931
