What is the delta of a short position in 100 European put options on a nondividend-paying stock?

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What is the delta of a short position in 100 European put options on a nondividend-paying stock? The options mature in 91 days. The current stock price is $40 per share, the exercise price of the options is $40, the risk-free interest rate is 8% per annum, and the volatility is 30% per annum. What investment is required for a delta-hedged portfolio? What is your overnight profit if the stock price tomorrow is $39? What if it is $40.50?

Posted Date: May 17, 2024 04:11 PM

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What is the delta of a short position in 100 European put options on a nondividend-paying stock?

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