You Are Long 300 At-The-Money Calls on Stock ABC,each with a Delta

question 19

Multiple Choice

You are long 300 at-the-money calls on Stock ABC,each with a delta of $+ 0.54$ ,and short 200 in-the-money calls on Stock XYZ,each with a delta of $+ 0.66$ .Which of the following statements is most accurate in this context?

• A)The aggregate delta of your portfolio is \(+ 294\)
• )
• B)The aggregate delta of your portfolio is \(+ 30\)
• )
• C)The aggregate delta of your portfolio is \(+ 60\)
• )
• D)The notion of an "aggregate portfolio delta" is not meaningful in this setting.

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