AdvancedNumeric answer
You buy a one-month at-the-money option at implied volatility and delta-hedge it. Its gamma is per share on a stock, and you treat gamma as constant. If volatility realises at , what is the approximate hedged P&L per share over the month, to two decimals?
Answer with a number. 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 volatility questions
- Selling volatility, day by day, part 1 of 3Foundation
- You are long a delta-hedged straddle. What are you actually long?Applied
- You are delta-hedged long a one-year at-the-money option on a $100 stock with…Applied
- You buy a straddle the day before earnings.Applied
- Selling volatility, day by day, part 2 of 3Applied
- Thirty-day implied volatility is 30% and the options price a 6% move on a…Advanced