Part IV HEDGING POSITIONS IN OPTIONS Answer question #29 based on the following information A portolio manager has the following portfolio of over-the-counter options on a stock: Type Position Option Delta Opt. Gamma Option Vega Call – 1000 1 0.50 2.2 1.8 Call -500 0.80 0.6 0.2 Put -2000 -0.40 1.3 0.7 Call 1.4 0.70 -500 1.8 An exchange traded option on this stock has …
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