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Q4. Option Greeks of a call back ratio under NORMAL DISTRIBUTION Underlying is at $200 Rt 0. Annual standard deviation of $80.3 mont You want to construct a CALL back ratio spread Long 2 CALLS at Q4a What is the delta ol the position? (2 points) 220 strike, and short 1 CALL at 200 strike. 04b. What is the gamma value of the spread (2 points) Q4c What is the one day theta value of the spread (2 points) oad Underlying moves up $10 over TWO-DAY PERIOD since you take on the position. What is the PnL due to deita, gamma, and theta respectively (4 points)?
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