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Results tagged with Search options answers only user 18388
2
votes
You have what is known as a put option (the right to sell the stock) . If the stock has fallen precipitously to 2 dollars, then the the option to sell at 50 is worth about 48 dollars. If you are ask …
answered Jul 16 by dm63
3
votes
The strategy seems to be self financing because the investor's only actions are to buy stock in the market when the stock price increases to the exercise price K, simultaneously borrowing K dollars, o …
answered Mar 3 '18 by dm63
1
vote
You haven't written down your equations correctly. Ignoring discounting, the equations should be: C(70)-P(70)= -4 (not 66), from put-call parity. Also, C(70) + P(70)= 27; from these two we get C(70 …
answered Apr 4 '16 by dm63
1
vote
Well I've never actually traded a var swap but I see no answers so I'll give it a shot. If you are short a var swap, your hedge is to buy options of all strikes. In practice, you buy a ATM straddle …
answered Apr 25 '18 by dm63
1
vote
You could just consider the calendar spread as a single variable. Depending on the commodity you might be able to convince yourself that it is approximated well by a normal distribution, in which ca …
answered Feb 2 by dm63
6
votes
Not sure this is a valid question! Gamma p/l is by definition the p/l due to realized volatility being different from implied. Vega p/l is by definition the p/l due to moves in implied volatility. …
answered May 5 '18 by dm63
1
vote
I don't understand. You are selling the call option you currently own, so you are left with nothing. At no point are you naked short the call option.
answered Dec 11 '15 by dm63