Question: I sell a one month put option with 28% implied volatility today and I hedge my position continuously until maturity. In one month, I calculate
I sell a one month put option with 28% implied volatility today and I hedge my position continuously until maturity. In one month, I calculate that the realized volatility of the underlying asset was 16%. Did I make money or did I lose money
Step by Step Solution
There are 3 Steps involved in it
1 Expert Approved Answer
Step: 1 Unlock
Question Has Been Solved by an Expert!
Get step-by-step solutions from verified subject matter experts
Step: 2 Unlock
Step: 3 Unlock
