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Calculate the delta of the portolio

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Reference no: EM133061322

A portfolio holds the following options:

Portfolio Option Position

 

 

 

 

Option Class

Type

Position

Quantity

Time to Expiry

Strike Price

Delta

Class A

call

long

7,400

3

1.7

0.42

Class B

call

short

8,500

8

1.5

0.44

Class C

put

short

10,000

11

1.4

-0.48

Class D

put

long

7,200

4

1.4

-0.53

Calculate the delta of the portolio. Give your answer to 3 decimal places.

Delta of the porfolio =

Reference no: EM133061322

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