What is your pnl from delta and gamma and theta for that day

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Reference no: EM132035254

Underlying trading at $100, and $20 annualized implied volatility. You think IV is too low and decide to buy a 90-110 strangle with 3 months to expiration (DTE=63). (Hint: a strangle is a combination of OTM PUT and OTM CALL.) Assume interest rate of zero and normal distribution of prices.

If underlying closed at 99 one day after your purchase , what is your PnL from delta, gamma, and theta for that day?

Reference no: EM132035254

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