Question: Let S = $40, K = $40, sigma = 0.30, r = 0.08, T-t = 91/365, delta = 0. The price and greeks of a

Let S = $40, K = $40, sigma = 0.30, r = 0.08, T-t = 91/365, delta = 0. The price and greeks of a call option are given below:

PURCHASE

WRITTEN

CALL PRICE

2.7804

-2.7804

DELTA

0.5824

-0.5824

GAMMA

0.0652

-0.0652

THETA

-0.0173

0.0173

What is the market-makers profit? (Hint: Use equation 13.9)

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