AppliedNumeric answer
You are long 20 call contracts, each on 100 shares, with delta . How many shares must you sell to be delta neutral?
Answer with a number in shares. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
Learn the method
Reported in interviews at
More the greeks and hedging questions
- Neutralising delta and gamma, part 1 of 3Foundation
- Where is the gamma of a call option largest?Applied
- Hedging error falls as one over the square root of the number of hedges.Applied
- You are long 10 delta-hedged contracts, each on 100 shares, with gamma 0.05 per share.Applied
- You are short options and delta hedging.Applied
- A position has gamma of 20 shares per dollar on a $100 stock.Applied