Betty and Bob are long 5,000 shares of XYZ stock, short 20 October 50 calls, and long 35 October 45 puts Call Delta Put Delta October 45 60 40 October 50 30 70 A Find the equivalent share position B Algebraically find how many October 45 calls they should buy or sell to be delta neutral ...

A Short 20 October 50 Call Short 2010003 Short 600 shares Long 35 Octo ...

Betty and Bob are long 5,000 shares of XYZ stock, short 20 October 50 calls, and long

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Betty and Bob are long 5,000 shares of XYZ stock, short 20 October 50 calls, and long 35 October 45 puts.

	Call Delta	Put Delta
October 45	.60	- .40
October 50	.30	- .70

A. Find the equivalent share position.

B. Algebraically find how many October 45 calls they should buy or sell to be delta neutral.

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Financial Accounting and Reporting

ISBN: 978-0273744443

14th Edition

Authors: Barry Elliott, Jamie Elliott

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Posted Date: Jun 12, 2020 06:27 AM

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Betty and Bob are long 5,000 shares of XYZ stock, short 20 October 50 calls, and long

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A Short 20 October 50 Call Short 2010003 Short 600 shares Long 35 Octo... View the full answer

Financial Accounting and Reporting

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