NOTE: ASSUME Ris free rate of 0; 252 trading days in a year; and Normal distribution for all questions. Delta and Gamma with back ratio spread Underlying trading at 6000. You want to have a position of 100 CALL front ratio spread using CALL options with seven weeks before expiration. In particular, you want to Long 200 contracts of 35 delta CALL Short 300 contracts of 25 delta CALL Annual IV for both legs is 1000. a. Identify the strike for 35 delta and 25 delta CALL respectively b. What is the delta for your overall call front ratio position? c. What is the gamma and theta value of your front ratio position?
NOTE: ASSUME Ris free rate of 0; 252 trading days in a year; and Normal distribution for all questions. Delta and Gamma with back ratio spread Underlying trading at 6000. You want to have a position of 100 CALL front ratio spread using CALL options with seven weeks before expiration. In particular, you want to Long 200 contracts of 35 delta CALL Short 300 contracts of 25 delta CALL Annual IV for both legs is 1000. a. Identify the strike for 35 delta and 25 delta CALL respectively b. What is the delta for your overall call front ratio position? c. What is the gamma and theta value of your front ratio position?
Chapter4A: Nopat Breakeven: Revenues Needed To Cover Total Operating Costs
Section: Chapter Questions
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Transcribed Image Text:NOTE: ASSUME Ris free rate of 0; 252 trading days in a year; and Normal distribution for all questions.
Delta and Gamma with back ratio spread
Underlying trading at 6000. You want to have a position of 100 CALL front ratio spread using CALL
options with seven weeks before expiration. In particular, you want to
Long 200 contracts of 35 delta CALL
Short 300 contracts of 25 delta CALL
Annual IV for both legs is 1000.
a. Identify the strike for 35 delta and 25 delta CALL respectively
b. What is the delta for your overall call front ratio position?
c. What is the gamma and theta value of your front ratio position?
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