Consider a bull spread where you buy a 40-strike put and sell a 45-strike put. Suppose
Question:
a. Suppose S = $40. What are delta, gamma, vega, theta, and rho?
b. Suppose S = $45. What are delta, gamma, vega, theta, and rho?
c. Are any of your answers to (a) and (b) different? If so, why?
d. Are any of your answers different in this problem from those in Problem 12.14? If so, why?
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a Bought Put40 Sold Put45 Bull Spread Price 25868 53659 27791 Delta 03841 06028 02187 Gamma 00450 00...View the full answer
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