Options quiz help

D

davidcg580

Hi, I'm working on an options quiz and need some help:

Stock ABC is at 50, If I am long the Nov 50 put and short the Oct 60 put, what am I in vega/delta terms?

( ie short delta, long vega was my guess)




Also, if I am short 1XYZ 145 put @ 4

If the delta of the put is .50, and the gamma is .04, what would the new delta be if XYZ decreases from 145 to 144


Thanks!
 
Quote from davidcg580:

Hi, I'm working on an options quiz and need some help:

Stock ABC is at 50, If I am long the Nov 50 put and short the Oct 60 put, what am I in vega/delta terms?

( ie short delta, long vega was my guess)




Also, if I am short 1XYZ 145 put @ 4

If the delta of the put is .50, and the gamma is .04, what would the new delta be if XYZ decreases from 145 to 144


Thanks!
More...

Long delta, short vega.

.54
 
Technically, it's possible the volatility term structure is in backwardation, or that the skew is so out of whack, to a point where the October will be over. In practice though, this virtually never happens.
 
Assuming a fairly flat vol skew between months, the vega of this position would be positive because you own the longer term ATM, which has more vega the nearer term ITM option.
 
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