1.Your current option position has the following greeks: You would like to eliminate your delta, gamma and...

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1.Your current option position has the following greeks:

You would like to eliminate your delta, gamma and vega exposure while enhancing your P&L so you will NOT buy options that are priced too high or sell options that are priced too low. Calculate the positions needed to hedge your greeks using futures and the following options.

Option

Quantity

Long or Short

Futures

Posted Date: May 19, 2024 02:02 AM

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1.Your current option position has the following greeks: You would like to eliminate your delta, gamma and...

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