What is the price of an atm put and atm call

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Reference no: EM131990588

Current underlying price at 100. Mean absolute deviation of 20.

1. What is the price of an ATM PUT and ATM CALL? What is the delta value of 2 long CALLs?

2. If you long 2 ATM CALLs, what position do you take in underlying shares to have a zero-delta position (Note long 2 CALL short underling to go delta zero is same as a straddle)?

Reference no: EM131990588

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