Derivatives-delta, gamma, theta of options, delta neutrality
Not what you're looking for?
1. Given the following information is given to you: T= 100 days, r = 5%, S = $45, and standard deviation = 0.26, calculate the delta of a $45 Call. How do you interpret this delta?
2. Consider a European call with the following details:
Stock price = $17.50
Strike price = $17.00
r = 0.08
Variance = 0.10
T = 0.25
a) Compute the delta for this call and explain as much as you can about this delta value.
b) Compute theta for this call.
c) Compute gamma for this call.
d) What is the meaning of delta neutrality?
3. For a 350 call and a 360 call, following table is given:
Option Delta Gamma Theta
350 call 0.709 0.01 -0.093
360 call 0.599 0.011 -0.103
Suppose you buy 25 of 350 calls and write 25 of 360 calls.
a) What is your position delta?
b) What is your position gamma?
c) What is your position theta?
4. A portfolio contains 125 contracts of XYZ JUN 50 call options (European style), which sell for $3 and have a delta of 0.520. How many JUN 50 puts must you buy to be approximately delta neutral?
5. A portfolio contains 2,500 shares of ABC common stock and the following information is given to you:
Option Price Delta Theta
JUL 40 call 1.75 0.534 0.03
JUL 35 put 0.875 -0.312 0.02
You decide to write the JUL 40 calls and buy the JUL 35 puts so as to be approximately delta neutral and have no cash flow. How many of each option would you buy or write?
Purchase this Solution
Solution Summary
Answers to questions on Delta, theta , gamma of call option, delta neutrality.
Purchase this Solution
Free BrainMass Quizzes
MS Word 2010-Tricky Features
These questions are based on features of the previous word versions that were easy to figure out, but now seem more hidden to me.
Basic Social Media Concepts
The quiz will test your knowledge on basic social media concepts.
IPOs
This Quiz is compiled of questions that pertain to IPOs (Initial Public Offerings)
Change and Resistance within Organizations
This quiz intended to help students understand change and resistance in organizations
Understanding the Accounting Equation
These 10 questions help a new student of accounting to understand the basic premise of accounting and how it is applied to the business world.