medium · Quantitative Finance
A risk manager monitors a delta-neutral portfolio of 50,000 shares with a position-level gamma of 2,000 and a daily theta of -$1,900.
If the underlying asset moves by $3 in one day, what is the approximate net profit or loss for the day?
- +$9,000
- +$4,100
- -$1,900
- +$7,100
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