FInance Tutor Please Help ASAP (KINDLY ANSWER 1 AND 2) Thank you You just bought

Question

FInance Tutor Please Help ASAP (KINDLY ANSWER 1 AND 2) Thank you

You just bought 100 units of ETF50 put options. The pricing information follows.

S=2.15, K=2.15, r=0%, Time to Maturity=1 day. (Say, 2016/4/26)

(This option expires tomorrow. Though ETF50 options in China are settled by delivering physical ETF, you could think it the same as cash settlement.)

Question 1: You are required to implement delta hedging at end of the date. How many ETF50 you need to short or long for hedging at 4/26?

Question 2: What is the expected profitable price range for whole portfolio? (Assuming you only did delta neutral once at 4/26.)

Explanation / Answer

Answer:-

1.) 100 units of ETF50 bought for hedging.

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