Suppose you have sold 100 European calls on Yehaa (which does not pay dividends), each with a strike of 100 USD, with r = 3% per annum and o = 25% per annum, which expire in 1 year. The current stock price of Yehaa is 100 USD and you are delta-hedged. 

What trade would you have to carry out to remain delta-hedged if the stock price crashed by 10%?

Answer rating: 100% (QA)

To remain deltahedged when the stock price crashes by 10 you would need to adjust your position by buying back some of the sold European call options ... View the full answer