What is the value of delta for an atm call option

Reference no: EM133368558

Question: What is the value of delta for an ATM call option? %tislthe value of delta for an ATM put option? What is the value of delta for afar 00M call option? What is the value of delta for a far ITM call option? What is benefit of being long gamma? Where is gamma highest: 00M, ITM, ATM? A portfolio manager intends to periodically sell puts. How does this resemble issuing insurance? Delta = .5 Gamma = .1 The stock price moves 10. What is the change in the option portfolio? Why is a an option inherently long volatility? A 1 year call option is struck ATM. Annual vol is 20%. The trade is for $100M. Using the rule of thumb, what is the approximate value of the call option? A 3 month call option is struck ATM. Annual vol is 20%. The trade is for $100M. Using the rule of thumb, what is the approximate value of the call option?

Reference no: EM133368558

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