Recent content by eagertolearn

Any references for how you got those figures?

Thanks so much....just curious though how the maturity, strikes, and dividend yield play into designing the position.

I'm trying to design a position for an investor who would like to benefit from an increase in volatility by 5% percentage points in the amount of $1000 but would like to be delta and gamma neutral, and have the portfolio designed be self financing. The spot price on the underlying asset is...