You have the option positions in your portfolio as: Options on GOOGL stock Put Put Call...
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You have the option positions in your portfolio as: Options on GOOGL stock Put Put Call Position Delta Gamma vega 200 -0.3 0.2 -300 -0.2 0.3 400 0.5 0.7 -0.36 -0.23 0.58 You also have 2 external options: option 1 has a delta of 0.8, gamma of 0.5 and vega of 0.33, option 2 has a delta of -0.2, gamma of 0.2 and vega of -0.56. Use the GOOGL stock and 2 external options to make the portfolio delta, gamma and vega neutral. What are the positions in 2 external options and the GOOGL stock? You have the option positions in your portfolio as: Options on GOOGL stock Put Put Call Position Delta Gamma vega 200 -0.3 0.2 -300 -0.2 0.3 400 0.5 0.7 -0.36 -0.23 0.58 You also have 2 external options: option 1 has a delta of 0.8, gamma of 0.5 and vega of 0.33, option 2 has a delta of -0.2, gamma of 0.2 and vega of -0.56. Use the GOOGL stock and 2 external options to make the portfolio delta, gamma and vega neutral. What are the positions in 2 external options and the GOOGL stock?
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To make the portfolio delta gamma and vega neutral we need to ensure that the sum of deltas gammas a... View the full answer
Related Book For
Understanding Basic Statistics
ISBN: 9781111827021
6th Edition
Authors: Charles Henry Brase, Corrinne Pellillo Brase
Posted Date:
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