Given the following information if an investor expects SPY will drop 2% before the mid of April,
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Ticker | Expiration | Type | Spot price | Strike price | Premium | Delta | Vega |
UVXY | 4/14/2022 | Call | 22.66 | 30 | 4.1 | 0.48 | 0.03 |
UVXY | 4/14/2022 | Put | 22.66 | 15 | 1 | -0.14 | 0.02 |
VIX | 4/20/2022 | Call | 36.09 | 40 | 3.4 | 0.44 | 0.05 |
VIX | 4/20/2022 | Put | 36.09 | 35 | 7.35 | -0.42 | 0.05 |
SPY | 4/14/2022 | Call | 420.86 | 440 | 5.48 | 0.29 | 0.46 |
SPY | 4/14/2022 | Put | 420.86 | 400 | 9.03 | -0.30 | 0.46 |
SPY | 4/14/2022 | Call | 420.86 | 500 | 0.045 | 0.01 | 0.02 |
SPY | 4/14/2022 | Put | 420.86 | 300 | 0.81 | -0.03 | 0.08 |
Related Book For
Basic Finance An Introduction to Financial Institutions Investments and Management
ISBN: 978-1111820633
10th edition
Authors: Herbert B. Mayo
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