FoundationMultiple choice
Reading a book’s risk report · Part 1 of 3
A stock is at $50. Your options book reports delta +2,000 shares, gamma −500 shares per dollar, vega +$30,000 per volatility point and theta +$4,000 per day.
The stock ticks up $1 immediately, with implied volatility unchanged. What is the approximate P&L?
- A+$1,750
- B+$2,000, from delta alone
- C+$1,500, subtracting the full gamma
- D+$2,250, as the gamma is added to the delta gain
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