2. An XYZ 30 Call is priced at 2.50. The Delta is 0.40 and Gamma is 0.04. What would be the approximate price of the XYZ 30 Call if the underlying stock moves up by 1.00 point? 3. An XYZ 40 Put is priced at 2.00. The Delta is -0.60 and Gamma is 0.05. What would be the approximate price of the XYZ 40 Put if the underlying stock drops by 1.00 point?
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50 - 1.00) / 1.00 = 0.40 Show more…
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