Computing price of at-the-money european put on futures

Reference no: EM1310627

1) An at-the-money European call on the futures sells for= $5.50. Determine the price of at-the-money European put on the futures? Suppose both the call and put have the same maturity.

2) An investor wants to enter into delta-neutral position with 2 options that, given the present price of underlying asset, have the given prices and deltas:

Option Price Delta
A 14 -0.4300
B 14 +0.3300

Assume the investor writes 8 contracts of option A. To be delta neutral, how many contracts of option B must be traded? Must they be bought or sold?

Reference no: EM1310627

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