Suppose you buy a 40-45 bull spread with 91 days to expiration. If you delta-hedge this position,

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Suppose you buy a 40-45 bull spread with 91 days to expiration. If you delta-hedge this position, what investment is required? What is your overnight profit if the stock tomorrow is $39? What if the stock is $40.50?

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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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Question Posted: Aug 12, 2015 02:45 AM

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Suppose you buy a 40-45 bull spread with 91 days to expiration. If you delta-hedge this position,

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The unhedged delta will be 3009 hence we have to short 3009 shar...View the full answer

Derivatives Markets

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