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Delta Neutral Hedging Strategy Premium Neutral Hedging Strategy

- The document describes a delta neutral hedging strategy and premium neutral hedging strategy for an options position. - It provides the starting asset price of $1000, a futures position of 10 contracts at $1000 each, and option details including a start date of 14-Mar-08 and expiration of 28-Jun-08. - Tables show the proposed options positions under each hedging strategy, including the number of calls and puts, their strike prices, and the resulting price and P&L of the hedged position.

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Ben Shibe
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151 views4 pages

Delta Neutral Hedging Strategy Premium Neutral Hedging Strategy

- The document describes a delta neutral hedging strategy and premium neutral hedging strategy for an options position. - It provides the starting asset price of $1000, a futures position of 10 contracts at $1000 each, and option details including a start date of 14-Mar-08 and expiration of 28-Jun-08. - Tables show the proposed options positions under each hedging strategy, including the number of calls and puts, their strike prices, and the resulting price and P&L of the hedged position.

Uploaded by

Ben Shibe
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
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Starting Asset Price 1000 Futures Position Starting Value

Type Units Per Share


Options Details Futures 10 1000
Start Date 14-Mar-08
Option Expiration 28-Jun-08
Volatility 25%
Risk Free Rate 6%
Bid/Ask Spread -
desired options delta multiplier 1

Delta Neutral Hedging Strategy Premium Neutral Hedging Strategy

Type Units Strike Price Per Income (+) / Cost (-) Type Units Strike Price Per Income (+) / Cost (-)
Calls -10.00 1,000 #VALUE! #VALUE! Calls #VALUE! 1,000 #VALUE! #VALUE!
Puts 17.00 925 #VALUE! #VALUE! Puts #VALUE! 925 #VALUE! #VALUE!
#VALUE! #VALUE!

Delta Total Delta Gamma Vega Delta Total Delta Gamma Vega
Calls #VALUE! #VALUE! #VALUE! #VALUE! Calls #VALUE! #VALUE! #VALUE! #VALUE!
Puts #VALUE! #VALUE! #VALUE! #VALUE! Puts #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE!

Resulting Price 950 Resulting Price 950

Units Resulting Price P&L Units Resulting Price P&L


Futures 10.00 950 (50,000.00) 10.00 950 (50,000.00)
Calls -10.00 #VALUE! #VALUE! Calls #VALUE! #VALUE! #VALUE!
Puts 17.00 #VALUE! #VALUE! Puts #VALUE! #VALUE! #VALUE!
TOTAL #VALUE! TOTAL #VALUE!

GRAPH INPUTS
Lowest Price 925
Highest Price 1100
12 12.00

10
10.00

8
P&L 8.00

6
6.00

4
4.00

2.00
0
900 950 1000 1050 1100 1150
-
Price of Underlying 900 950 1000 1050 1100 1150

12/07/2021 22:39:59
Options Calculators
DH2 Edition

Yellow cells are for inputs.


Black cells are calculated for you.
White cells are outputs.

If you know the price, but not the volatility, use this calculator.
Today 12/7/2021
Option Type P P for Puts, C for Calls
Expiration 7/18/2009
Unadjusted Price $ 45.16
Strike Price $ 35.00
Years -12.400
Risk Free Rate 4.00%
Actual $ 10.60
Dividend Yield 0.70%
Implied Volatility #VALUE!

Option Greeks
Delta #VALUE!
Gamma #VALUE!
Theta #VALUE!
Vega #VALUE!
Rho #VALUE!
Online Options Calculators
The Options Industry Council
Chicago Board Options Exchange
Ivolatility.com

If you know the volatility, but not the price, use this calculator.
Today 12/7/2021
Option Type C P for Puts, C for Calls
Expiration 7/18/2009
Unadjusted Price $ 45.16
Strike Price $ 35.00
Years -12.400
Risk Free Rate 4.00%
Volatility 34.01%
Dividend Yield 0.70%
Premium #VALUE!

Option Greeks
Delta #VALUE!
Gamma #VALUE!
Theta #VALUE!
Vega #VALUE!
Rho #VALUE!

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