medium · Quantitative Finance Derivatives Pricing & Volatility Surfaces
A trader is long an option with Γ = 0.10 and Θ = -0.05 per day.
If the stock price moves by 1.00 over one day, the net P&L (ignoring Delta) is:
- +$0.10
- +$0.00
- -$0.05
- +$0.05
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