Suppose you sell a 40-strike put with 91 days to expiration. What is delta? If the option

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Suppose you sell a 40-strike put with 91 days to expiration. 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 $39? What if it is $40.50?
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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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