hard · Quantitative Finance derivatives
A trader is short 500 European call option contracts, with each contract covering 100 shares. The per-share gamma is Γ = 0.04, and the total position has been made delta-neutral. The aggregate position theta is -1,900 per day. If the underlying asset moves by Δ S = 3 over one day, calculate the approximate net P&L for the position.
- "-"$7,100
- "-"$10,900
- $7,100
- "-"$9,000
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