A trader was asked to show a bid to buy $110.00 calls from a customer. The stock price was $105.00, the interest rate was 5%, and the implied volatility was 35%, and there were 60 days until expiry (based on a 365 day year). 

The customer takes some time to think about it, and asks for a re-pricing of the deal.

The stock price is now $108.00, the interest rate is unchanged, the implied volatility is now 38% and there are 45 days until expiry.

The customer likes the price and hits your bid for options equivalent to 75,000 shares. How many shares must the trader buy/sell to neutralize the delta of the position?

Answer rating: 100% (QA)

To determine the number of shares the trader must buysell to neutralize the delta of the options pos... View the full answer