Question: Based on the information provided in the able below, calculate the portfolio's delta, gamma, and vega. Type Position Delta Gamma Vega Call -1,500 0.5 2.2

Based on the information provided in the able below, calculate the portfolio's delta, gamma, and vega.

Type Position Delta Gamma Vega

Call -1,500 0.5 2.2 1.8

Call 500 0.8 0.6 0.2

Put -3,000 -0.4 1.3 0.7

Call -500 0.7 1.8 1.4

Answer: 500, -7,800 and -5,400.

I need the calculations with clarification

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!