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Delta hedging,| Greek letters 11. (20 points / 20 minutes) You have the following market data: PDQ stock price: 102 Riskless interest rate (simple...

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Delta hedging,| Greek letters 11.6. (20 points / 20 minutes) You have the following market data:
PDQ stock price: 102
Riskless interest rate (simple interest, i.e., the Annual Percentage Rate): 8.00%
Option maturity: 3 months
Volatility: 0.30
Options are all European.
An option is for 1 share. Fractional shares and fiactional options can be traded if you want to. Options data:
Strike Call lmce Call delta Call Gamma Put pg'ce Put delta Put gamma
95 11 .75 0.0208 2 1/2 -.25 0.0208
100 8 .63 0.0247 4 -.37 0.0247
105 6 .50 0.0261 8 -.50 0.0261 You are on the trading desk of a securities fmn and you have just put on the following trade: Sold 100,000 95 strike PDQ puts
Bought 100,000 105 strike PDQ calls a. What is the delta of this position?
b. What position do you have to take in PDQ stock in order to be delta neutral?
0. What is the gamma of your position? d. Instead of trading the stock, you want to make a delta neutral position using the 100 strike calls. How
many should you trade? What will be the gamma of that delta neutral position? e. You want to use the_stock and the 100 strike call to make your position m gamma neutral and delta 4 FIN C-UB.0043 Futures and Options Figlewski neutral. How many 100 strike calls should you trade? What is the stock position you will need to make
the whole position delta neutral?

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