Question: how to develop a delta neutral strategy for the period 26/02/2021 to 12/03/2021 to speculate/arbitrage on volatility. Explain how the strategy will work, and detail

how to develop a delta neutral strategy for the period 26/02/2021 to 12/03/2021 to speculate/arbitrage on volatility. Explain how the strategy will work, and detail all transactions for undertaking the strategy. You can use as much capital as you like, but the cost of capital needs to be considered. Given that the strategy is theoretically risk free, You are required to perform at least one rebalancing

Stock Price ( CALL DELTA CALL PRICE (AUD) PUT DELTA PUT PRICE (AUD) Strike (X) 35 Expiration date: 15/07/2021 Strike (X) 35 Expiration date. 15/07/2021 2021/2/26 31.73 0.24849 0.63 -0.75558 1.235 2021/3/1 31.85 0.25247 0.635 -0.75045 4.125 2021/3/2 31.76 0.24471 0.605 -0.75834 4.185 2021/3/3 31.83 0.2474 0.61 -0.75472 4.125 2021/3/4 31.42 0.22216 0.53 -0.78123 4.45 2021/3/5 31.32 0.21587 0.51 0.78653 4.535 2021/3/8 31.03 0.19474 0.44 -0.80674 4.76 2021/3/9 30.70 0.19872 0.455 -0.80619 4.73 2021/3/10 30.55 0.18907 0.425 -0.81731 4.845 2021/3/11 30.49 0.18565 0.415 -0.82083 4.895 2021/3/12 31.28 0.22291 0.51 -0.78285 4.2

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