You work in a Bank as head of the Derivatives desk and your responsibility is to open the options portfolio from scratch (the bank does not have any open options). The first day of operations arrives and a client operates the following with the bank:

Sale Call, Notional 100K usd, Strike ATMF, term 90 days

Put Purchase, Notional 50k usd, Strike 21, term 30 days

At the time of closing the trades, the market was trading as follows:

• Spot 20.00 usd/mxn
• MXN rate 30 days continuous cap 6.00%
• MXN rate 90 days continuous cap 6.50%
• Rate USD 30 days continuous cap 1.00%
• Rate USD 90 days continuous cap 2.00%
• 1Month Volatility 11%
• 3Month Volatility 11%

Calculate the following:

At the money forward (ATMF) level?

Portfolio delta? Explain with detail the amount of the underlying asset that you would be long or short to cover the risk of movements in the dollar peso.

Note: Assume positions are from the bank's point of view