"Consider the following 4 options on TSLA: (1) 1-year 30-delta call, (2) 1-year 30-delta put, (3) 2-year 70-delta put, (4) 2-year 70-delta call. (a) Which of the 4 option's strike price is the closest to the strike price of a 1-year 70-delta call? to neutralize the delta exposure of each option contract separately with TSLA stock, which of the 4 option contracts needs the most long stock position to neutralize its delta? (d) What's the total delta of the portfolio that includes 1 million shares long position in each of the 4 option contracts (b) If we are long 1 million shares on each of the options and want and (c) which of the 4 option contracts needs the most short stock position to neutralize its delta? (Answer the questions using a clean integer number with no decimal, no dots, no parentheses)"
"Consider the following 4 options on TSLA: (1) 1-year 30-delta call, (2) 1-year 30-delta put, (3) 2-year 70-delta put, (4) 2-year 70-delta call. (a) Which of the 4 option's strike price is the closest to the strike price of a 1-year 70-delta call? to neutralize the delta exposure of each option contract separately with TSLA stock, which of the 4 option contracts needs the most long stock position to neutralize its delta? (d) What's the total delta of the portfolio that includes 1 million shares long position in each of the 4 option contracts (b) If we are long 1 million shares on each of the options and want and (c) which of the 4 option contracts needs the most short stock position to neutralize its delta? (Answer the questions using a clean integer number with no decimal, no dots, no parentheses)"
Fundamentals of Financial Management (MindTap Course List)
14th Edition
ISBN:9781285867977
Author:Eugene F. Brigham, Joel F. Houston
Publisher:Eugene F. Brigham, Joel F. Houston
Chapter18: Derivatives And Risk Management
Section18.A: Valuation Of Put Options
Problem 1P
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