1.Explain how an increase in implied vol would change your delta hedging position if the SAC option was In-The-Money, assuming you wanted to maintain a delta neutral position.

2.Explain how theta erosion affects your delta hedging position as the option approaches maturity if the SAC option is In-The-Money, assuming you wanted to maintain a delta neutral exposure.

3.If your boss told you to reduce the volatility of the portfolio's value as close to zero as possible, what trading strategy would you implement? Why?

Answer rating: 100% (QA)

Answer 1Impact of Increase in Implied Volatility on Delta Hedging ITM SAC Option An increase in implied volatility generally leads to higher option pr... View the full answer