medium · Quantitative Finance
A trader is managing a delta-neutral portfolio of options. The portfolio has a total Gamma of Gamma_P = 4,000 and a Theta of Theta_P = -2,500 per day.
If the underlying asset moves by Δ S = $1.50 over one day, and the risk-free rate is negligible, what is the estimated daily Profit and Loss (P&L)?
- $2,000
- -$1,000
- $3,500
- $2,750
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