New answers tagged

0

You are right with your statements. The delta formula for calls is correct and $\Delta_p=1-\Delta_c$. However, if you are short an option with delta $\Delta$, your portfolio has a delta of $-\Delta$. Thus, your portfolio has a delta of $$\Delta_{\mathrm{Portfolio}} =3000\cdot\Delta_c+1600\cdot(1-\Delta_c)-4000\cdot\Delta_c.$$ Of course, the three deltas are ...


Top 50 recent answers are included