medium · Quantitative Finance derivatives
A trader is long 50,000 shares worth of options with a per-share gamma of Gamma = 0.04 and a daily theta of Theta = -1,900. If the stock moves by Δ S = 3 over one day, what is the estimated proft or loss (PnL) from the combined gamma and theta effects?
- +$9,000
- +$4,100
- +$7,100
- -$1,900
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