OPC is an options trading company just executed the following trades: Trade 1: Sold 250 1...
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OPC is an options trading company just executed the following trades: Trade 1: Sold 250 1 year call options on AMZ company with a strike rate of 100. The stock is current trading at 100, has an annual volatility of 20%, pays no dividends, has a risk free rate of 5% and a delta of 0.6368. Trade 2: Sold 300 1 year call options on AMZ at a strike rate of 110. The call's delta is 0.4496. OPC wants to hedge these two trades using AMZ put options that have a strike rate of 110. How many Puts would it need to sell to hedge the calls? Using discrete compounding. OPC is an options trading company just executed the following trades: Trade 1: Sold 250 1 year call options on AMZ company with a strike rate of 100. The stock is current trading at 100, has an annual volatility of 20%, pays no dividends, has a risk free rate of 5% and a delta of 0.6368. Trade 2: Sold 300 1 year call options on AMZ at a strike rate of 110. The call's delta is 0.4496. OPC wants to hedge these two trades using AMZ put options that have a strike rate of 110. How many Puts would it need to sell to hedge the calls? Using discrete compounding.
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To hedge the call options OPC needs to sell put options on AMZ with a strike rate of 110 For Trade 1 ... View the full answer
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