hard · FRM Part 1
A risk practitioner calculates that a delta-neutral position has a daily Θ = -$500 and a Γ = 0.25 (per $1 move).
What move in the underlying asset price is required for the Gamma-driven gain to exactly offset the daily Theta loss?
- $89.44
- $44.72
- $2000.00
- $63.25
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