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elf_fu elf_fu
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6 years ago
Assume S = $33.00, σ = 0.32, r = 0.06, div = 0.01. You short 100 $35 strike calls at 68 days until expiration. Under a delta hedge position, what is your overnight profit/loss if the stock rises to $34.50?
A) $9.23 loss
B) $9.23 gain
C) $7.62 loss
D) $7.62 gain
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Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
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phuongha2892phuongha2892
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6 years ago
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Anonymous
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10 months ago
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