Calculate the overnight profit that will result if the stock price decreases to $54.50, resulting in market conditions as described in the table...
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Im not sure how to answer this multiple part question.

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b. Calculate the overnight profit that will result if the stock price decreases to $54.50, resulting in
market conditions as described in the table below.
Inputs
sau woy blurw
Call
Put
Stock Price
54.5
Price
1.0768
1.4414
Exercise Price
55
Delta
0.4651
-0.5349
Volatility
20.000%
Gamma
0.1272
0.1272
Risk-free interest rate
3.000%
Vega
0.0621
0.0621
Time to Expiration (years)
0.082192
Theta
150.0227
-0.0182
Dividend Yield
0.000%
Rho
0.0199
-0.0251
c. A perfect hedge would have resulted in neither a profit nor a loss on the hedged position.
What property of options led to the dealer showing a loss on this delta-hedged position
overnight?
d. Is there any possible stock price move for which the overnight hedge would have led to a
profit? If not, explain why not. If so, indicate qualitatively what types of price moves will lead
to a profit, and explain what property of options leads to this profit.
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2080.0
2030.0
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e. Given the outcome in (b), if the dealer wishes to continue the delta hedge for another day,
how, if at all should the position be adjusted? Specifically:
i) How many more shares of stock should s/he buy or sell? i-web es cordero holesb orT .s
ii) How much more should s/he borrow or lend? wud da boon s aogb . egbe toT (

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4. (@route total caddy A dealer recently sold a call option with 31 days left until expiration
on 100 shares of stock. Option characteristics and market conditions are as described in the
table below.
Inputs
Call
Put
Stock Price
Price
1.9381
0.7981
Exercise Price
Delta
0.6488
-0.3512
Volatility
20.000%
Gamma
0.1136
0.1136
Risk-free interest rate
3.000%
Vega
0.0605
0.0605
Time to Expiration (years)
0.084932
Theta
-0.0224
-0.0178
Dividend Yield
0.000%
Rho
0.0292
-0.0174
a. The dealer wishes to delta-hedge this exposure.
de In estate prom voemr woll (i
i) To hedge, does he need to buy or sell stock? How many shares? our watt (if
ii) How much does he borrow or lend so that the total initial cash flow from the position
(including the option) is zero.

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