Question: Suppose S = 25, sigma = 32%, r=4%, 8= 0%, and T = 182 days. Suppose you buy a 23-strike put. What is delta? If

Suppose S = 25, sigma = 32%, r=4%, 8= 0%, and

Suppose S = 25, sigma = 32%, r=4%, 8= 0%, and T = 182 days. Suppose you buy a 23-strike put. What is delta? If the option is on 100 shares, what investment is required for a delta-hedged portfolio? What is your overnight profit if the stock price tomorrow is S = 24.55? What if the stock price is $26.25? Suppose S = 25, sigma = 32%, r=4%, 8= 0%, and T = 182 days. Suppose you buy a 23-strike put. What is delta? If the option is on 100 shares, what investment is required for a delta-hedged portfolio? What is your overnight profit if the stock price tomorrow is S = 24.55? What if the stock price is $26.25

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