Betty and Bob are long 5,000 shares of XYZ stock, short 20 October 50 calls, and long 35 October 45 puts.
Call Delta |
Put Delta |
|
October 45 |
.60 |
- .40 |
October 50 |
.30 |
- .70 |
A. Find the equivalent share position.
They are a. long/short ________ shares.
B. Algebraically find how many October 45 calls they should buy or sell to be delta neutral.
They should a. buy/sell ________ calls.
Proper solution is provided with detailed explanation.
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