Consider a portfolio that is long 20 index options that have a delta of 0.65,...
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Consider a portfolio that is long 20 index options that have a delta of 0.65, gamma of 0.014, vega of 0.072, and contract size of 100 index units and short 13 index options that have a delta of 0.35, gamma of 0.010, vega of 0.026, and contract size of 100 index units. What is the delta of this portfolio with respect to the index? Note: Your answer must be accurate to within 0.1. Consider a portfolio that has a delta of 1,000 , gamma of 70 , and vega of 670 with respect to some asset. On a day when the asset has a dollar return of $5 and the implied volatility increases by 0.009, that is the resultant change in the value of this portfolio? Note: Your answer must be accurate to within ten cents
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