What is the price of an atm put and atm call what is the


Current underlying price at 100. Mean absolute deviation of 20.

1. What is the price of an ATM PUT and ATM CALL? What is the delta value of 2 long CALLs?

2. If you long 2 ATM CALLs, what position do you take in underlying shares to have a zero-delta position (Note long 2 CALL short underling to go delta zero is same as a straddle)?

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Financial Management: What is the price of an atm put and atm call what is the
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