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Living with a long straddle · Part 2 of 4
You buy a one-month at-the-money straddle on a stock at $100 (strike 100, zero rates, 20% implied volatility) for $4.60. The straddle has gamma 0.138, vega 0.23 per volatility point and theta −0.076 per day.
You now delta-hedge the straddle. Over one day the stock jumps $3 and implied volatility is unchanged. Approximately what does the hedged position make?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
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