Eastpac Bank has just purchased 882 European call options, on stock with a current share price $31,
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Question:
Eastpac Bank has just purchased 882 European call options, on stock with a current share price $31, with a strike price of $36 and a term to expiration of 5 years.
You know from past experience that the volatility of these shares is equal to 9% pa and that these shares have an average yield of 8% pa.
Given that the risk free rate is 3% pa, calculate the delta of these options so that you can advise Eastpac Bank as to how they can hedge their portfolio position. Give your answer to 2 decimal places.
You many find thisstandard distribution table useful.
Combined delta of the options bought =
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