One year ago, Jacky bought 10 units of a 2-year at-the-money European straddle on a nondividend-paying stock. He immediately delta-hedged his position with shares of the stock, but has not ever re-balanced his portfolio. He now decides to close out all positions.

You are given:

(i) The risk-free interest rate is a positive constant.

(ii) The current stock price and the stock price one year ago are the same.

(iii) The following information about the European call and put options constituting the straddle:

Calculate Jacky’s 1-year holding profit.

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Call option price Put option price Call option delta Put option delta One Year Ago $8.29391 $4.85116 0.66431 ? Now $5.59651 $3.83641 ? - 0.38209