AppliedMultiple choice
Reading a book’s risk report · Part 2 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.
Over one whole day the stock falls $4 and implied volatility is unchanged. What is the approximate P&L, including theta?
- A−$8,000
- B−$12,000, the delta and gamma losses
- C−$4,000, since the short gamma gains on a fall
- D−$16,000, counting the full gamma of 500 × 4²
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