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To create a delta-neutral portfolio, an investor who has written 15,000 call options (that are currently exactly at-the-money) will have to:________

Sagot :

To create a delta-neutral portfolio, an investor who has written 15,000 call options (that are currently exactly at-the-money) will have to balance positive and negative deltas.

A portfolio strategy known as "delta neutral" employs numerous holdings with a balance of positive and negative deltas so that the total delta of the assets under consideration is zero.

A delta-neutral portfolio balances out the response to market fluctuations for a specific range, bringing the position's net change to zero. The term "delta" refers to the amount by which the price of the underlying security affects the price of an option.

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