A bank's position in options on the dollar-euro exchange rate has a delta of 30,000 and...

Transcribed Image Text:

A bank's position in options on the dollar-euro exchange rate has a delta of 30,000 and a gamma of -81,757. The exchange rate (dollars per euro) is 0.90. For delta neutrality 30,000 euros should be shorted. After a short period of time, the exchange rate moves to 0.87. What is the new delta? Enter your answer rounded to the nearest integer. For example, if your calculation results in 98,765 - you only need to enter 98765 A bank's position in options on the dollar-euro exchange rate has a delta of 30,000 and a gamma of -81,757. The exchange rate (dollars per euro) is 0.90. For delta neutrality 30,000 euros should be shorted. After a short period of time, the exchange rate moves to 0.87. What is the new delta? Enter your answer rounded to the nearest integer. For example, if your calculation results in 98,765 - you only need to enter 98765