Consider the following data on a stock currently valued at S=$40. Call 2 46 X d1...

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Consider the following data on a stock currently valued at S=$40. Call 2 46 X d1 N(D1) C Call 1 36 0.5 0.06 0.5 0.70 10.86 7.07 Gamma 0.015 Assume that you are able to buy or sell unlimited shares of the underlying asset as well as of the options. To delta and gamma hedge a position of 1000 written Call 1 options, you will need to get a position of Call 2. Indicate sales by a negative sign, but do NOT include a + for buys. Round numbers to the nearest integer. G 0.019 shares in Consider the following data on a stock currently valued at S=$40. Call 2 46 X d1 N(D1) C Call 1 36 0.5 0.06 0.5 0.70 10.86 7.07 Gamma 0.015 Assume that you are able to buy or sell unlimited shares of the underlying asset as well as of the options. To delta and gamma hedge a position of 1000 written Call 1 options, you will need to get a position of Call 2. Indicate sales by a negative sign, but do NOT include a + for buys. Round numbers to the nearest integer. G 0.019 shares in

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To hedge a position using options involves offsetting potential losses in one position by taking another position Specifically to delta and gamma hedg... View the full answer