FoundationNumeric answer
Rehedging a call book · Part 1 of 3
A desk owns 100 call contracts, each on 100 shares. Initial delta is 0.60 per share. Gamma is 0.025 delta units per share per unit stock move. Daily theta is a loss of 2 tokens per contract. Ignore volatility changes and higher-order terms.
How many shares must the desk sell to be delta neutral initially? Give the positive number sold.
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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