Use the following information and assume all else is equal: SPY: $414 Call: $1.20 Delta: 0.65 Gamma:

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Use the following information and assume all else is equal: SPY: $414 Call: $1.20 Delta: 0.65 Gamma: 0.10 Speed: .03 What would the approximate value of the option be if SPY went up $2? What would the approximate value be if SPY went down $2?

Related Book For answer-question

Intermediate Accounting

ISBN: 978-0132162302

1st edition

Authors: Elizabeth A. Gordon, Jana S. Raedy, Alexander J. Sannella

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Posted Date: May 30, 2023 03:30 AM

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Use the following information and assume all else is equal: SPY: $414 Call: $1.20 Delta: 0.65 Gamma:

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To calculate the approximate value of the option if the SPY Standard Poors 500 ETF goes up or down b... View the full answer

Intermediate Accounting

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