medium · Quantitative Finance derivatives

A delta-neutral portfolio has a position gamma Gamma_pos = $1,500 and a daily theta Theta_pos = -1,200.

To the second order, what is the 'break-even' move Δ S required over one day for the portfolio to remain profitable?

  1. 1.128
  2. 1.265
  3. 0.800
  4. 1.600

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