Suppose a trader has +1000 put options of SBI's share at a 500-strike price (ATM) and still

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Suppose a trader has +1000 put options of SBI's share at a 500-strike price (ATM) and still 2 months remain in expiration. However, he is afraid due to the high volatility (5% monthly) in SBI shares and decided to hedge with the help of SBI shares.

Calculate the fund requirement to hedge the above position. (Assume interest rate = 10%).

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Data Analysis and Decision Making

ISBN: 978-0538476126

4th edition

Authors: Christian Albright, Wayne Winston, Christopher Zappe

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Posted Date: Nov 06, 2023 12:51 AM

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Suppose a trader has +1000 put options of SBI's share at a 500-strike price (ATM) and still

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To hedge the position of 1000 put options on SBI shares with a 500strike price and 2 months remainin... View the full answer

Data Analysis and Decision Making

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