Suppose that a portfolio is delta neutral and has a gamma of –3,000. The delta and gamma of a particular traded call option are 0.62 and 1.50, respectively. The portfolio can be made gamma neutral by including in the portfolio a long position of…. in the call option? The gamma of the portfolio is then? The delta of the portfolio will then change from zero to?
Suppose that a portfolio is delta neutral and has a gamma of –3,000. The delta and...
Suppose a portfolio is delta-neutral and has a gamma of -5600. A call option trades with a delta of 0.5 and a gamma of 0.8. You buy this option to gamma-hedge. How many shares of stock do you need to buy (sell) to delta-hedge your portfolio after you added the option? a. Sell 3500 shares b. Buy 5000 shares c. Buy 3500 shares d. Sell 5000 shares
A bank has short position for 1,000 options on a stock. Each option has delta of 0.45 and a gamma of 5. (a) What is the delta of the bank position? How many shares are needed for a delta-neutral position? (b) A traded option on the stock (Option 1) has a delta of 0.6, and a gamma of 0.5. How can the bank position be made delta and gamma neutral?
A bank has a short position in 1,000 options on XYZ stock. Each option has delta of 0.45 and a gamma of 5. (a) What is the delta of the bank position? How many XYZ shares are needed for a delta-neutral position? (b) A traded option on XYZ stock (Option 1) has a delta of 0.6, and a gamma of 0.5. How can the bank position be made delta and gamma neutral?
A stock option market maker has a portfolio consisting of 200 shares of ABC Corp, and the following option positions on ABC Corp. For simplicity, each option is assumed to be written on a single share of the stock. Quantity Exercise Price Option Type Price Delta Gamma 100 Stock 120 1 0 150 120 Call 4,3585 0,5362 0,0385 -120 125 Call 4,1383 0,4179 0,0268 100 115 Put 4,1947 -0,3289 0,0202 -100 130 Call 3,5891 0,2982 0,0238 The market maker is...
A call option on a stock has a delta of 0.40 and a gamma of 0.10. A $0.10 rise in the price of the underlying stock will: (a) reduce the price of the call option by $0.04 (b) reduce the delta of the call option by 0.04 (c) raise the price of an equivalent put option by $0.06 (d) raise the delta of the call option by 0.01.
please just do question 7.
thank you
Silicon MicroSystems, Inc. (SMSI) stock is currently selling for $100 and the firm pays no dividends. The stock's volatility is 0.30 and the risk-free rate is 8%. Consider the following 6-month call and put options on SMSI stock (assume that contract size is 1 share): 6. Call 1 Call 2 Call 3 Strike $90 Price $12.817 $6.999 $3.380 Delta Gamma $100$110 0.7690.548 0.333 ma 0.0180.024 0.022 Put 1 90 Put 2 Put 3...
1. A put option on the S&P 500 has an exercise price of 500 and a time to maturity of one year. The risk free rate is 5% and the dividend yield on the index is the index is 30% per annum and the current level of the index is 500, A financial institution has a short position in the option. 2%. The volatility of a) Calculate the delta, gamma and vega of the position. Explain how they can be...
A stock option market maker has a portfolio consisting of 200
shares of ABC Corp, and the following option positions on ABC Corp.
For simplicity, each option is assumed to be written on a single
share of the stock.
The market maker is worried about stock price movements in ABC’s
stock and would like to make his portfolio delta-neutral and gamma
neutral over the night. The current stock price of ABC is $120, the
volatility of the stock is 30%,...
15. The following options are available on XYZ stock: | Туре Call Put $30 $30 | 1.00 1.25 Delta 0.703 -0.292 Gamma 0.036 0.032 The stock is currently priced at $32 and has a volatility (0) of 30% p.a. The continuously compounded risk-free rate is 5% p.a. The Black-Scholes option pricing model values the call at $5.60 and the put at $2.14. (a) Assume an options trader sells an XYZ call option, what position must she take in the stock...
Both band ) Unable to determine If you write a call hoping to benefit from the time decay of the options premium, which one of the following measures would you use? Theta, expressed in percentage Theta, expressed in dollars Delta, expressed in percentage Delta, expressed in dollars Gamma, expressed in percentage Which of the following measures the change in the options value, given 1% change in volatility? Delta Gamma Theta Vega Rho Which of the following measures the change in...