Question: Pick one put option contract whose time to maturity was at least 30 calendar days and that was in the money at expiration. Assume the

Pick one put option contract whose time to maturity was at least 30 calendar days and that was "in the money" at expiration. Assume the company sold 1K such contracts.

Perform delta-hedging in Excel showing all your steps. Indicate at which days for that period the company has to buy/sell stock when performing "stop-loss" hedging.

Historical option contracts offered for company A on 8/15/2019. Underlying price is $69.50

Expiration

Strike

Last

Bid

Ask

Vol

OpInt

T1OpInt

IVMean

IVBid

IVAsk

Delta

Gamma

Theta

8/16/19

60

0.02

0.01

0.03

200

952

922

1.2329

2.0245

2.3426

0

0.0001

-0.1908

8/16/19

90

14

18

22.55

0

0

0

0.9777

0

9.2714

-1

0

2.0672

9/20/19

55

0.11

0.08

0.2

15

25

21

0.4343

0.3976

0.471

-0.034

0.008

-3.6055

9/20/19

100

0

28.05

32.55

0

0

0

0.2708

0

1.1395

-1

0

2.2902

11/15/19

47.5

0.43

0.03

0.28

0

50

50

0.4004

0.33

0.4708

-0.0209

0.0036

-1.3637

11/15/19

87.5

12.1

15.5

20.2

0

0

0

0.3235

0

0.5753

-0.903

0.0152

-2.0079

11/15/19

90

13.75

18

22.75

0

0

0

0.3391

0

0.6191

-0.9189

0.0127

-1.609

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