Delta Neutrality: Based on the stock portfolio below, use options to build a delta neutral portfolio, keeping
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- Delta Neutrality: Based on the stock portfolio below, use options to build a delta neutral portfolio, keeping the long equity positions as is. NOTE: If an option is a short call or a long put, be sure to remember that these positions have negative delta.
UNDERLYING | PRICE | OPTION | PRICE | OPTION DELTA | Options in short | |
400 | Acadia Pharma (ACAD) | $26.60 | 18 Apr 2019 25 call | $3.70 | .65 | 6 |
30 | Netflix Inc. (NFLX) | $357.32 | 17 May 2019 380 put | $36.95 | -.60 | -5 |
100 | Proctor & Gamble Co. (PG) | $98.44 | 5 Apr 2019 95 call | $4.35 | .75 | 1 |
75 | IBM (IBM) | $139.20 | 5 Apr 2019 137 put | $4.30 | .61 | 1 |
500 | Pure Storage Inc. (PSTG) | $20.86 | 17 May 2019 22.5 call | $.95 | .38 | 13 |
165 | ZScaler, Inc (ZS) | $60.80 | 20 Dec 2019 50 call | $17.70 | .75 | 2 |
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