Underlying trading at 100 and 20 annualized implied, Financial Management

+44 141 628 6080
[email protected]

Underlying trading at 100 and 20 annualized implied

Underlying trading at $100, and $20 annualized implied volatility. You think IV is too low and decide to buy a 90-110 strangle with 3 months to expiration (DTE=63).

(Hint: a strangle is a combination of OTM PUT and OTM CALL.)

Assume interest rate of zero and normal distribution of prices.

Underlying moved to 95 immediately after your bought the strangle (DTE remains 30). What is the new delta for your strangle when underlying moved to $95? How should you hedge your delta with underlying?

View Complete Question

Request for Solution File

Ask an Expert for Answer!!

Financial Management: Underlying trading at 100 and 20 annualized implied

Reference No:- TGS02828753

Expected delivery within 24 Hours

Have a Question? (oR Write a Review)

Write atleast 100 words!!

Asked Questions

Limitation of self-help treatments

Which of the following is a limitation of self-help treatments that Steve Salerno noticed when he worked for a self-help book publisher?

Undergoing couples therapy

Marvin and Sylvia have been married for 20 years and are undergoing couples therapy. They hope that this will enable them to Question options

What are the success indicators for the kansas department

As part of the core belief or value system establish What are the success indicators for the Kansas Department for Children and Families?

How personality traits impact martial outcomes over time

In Kelly and Conley's (1987) landmark study on how personality traits impact martial outcomes over time, which of the following is true regarding the study's

Why employees need cultural intelligence

Today's employees need cultural intelligence (CQ); that is, those key competencies that allow us to effectively interact with people from diverse cultural

Define your personal physical boundaries

Please define your personal physical boundaries through providing examples of what they are and how you reinforce them

Indentations on the skull indicated personality traits

Phrenologists believed that relatively small bumps and indentations on the skull indicated personality traits but this assertion was inconsistent

Request for Solution File

Ask an Expert for Answer!!

Financial Management: Underlying trading at 100 and 20 annualized implied

Reference No:- TGS02828753

Have a Question? (oR Write a Review)

Recent Questions Asked Financial Management

Q : Discuss how the decision to spy on competitors can be

Q : How can we create unique value propositions and what

Q : You will identify the product life cycle stages for various

Q : Identify the primary target markets and market segments you

Q : Underlying trading at 100 and 20 annualized implied

Q : 1 how can products be marketed to different demographics

Q : What is the undiscounted cash flow in the final year of an

Q : Given that the retailer is profit motivated calculate the

Q : What are the advantages and disadvantages of using employee