You Hold a Portfolio of European Options on a Stock $0.52$

question 18

Multiple Choice

You hold a portfolio of European options on a stock that is (i) long 200 at-the-money calls,each with a delta of $0.52$ ,(ii) short 200 at-the-money puts,and (iii) long 100 shares of stock.The aggregate delta of your portfolio is

• A)100.
• B)108.
• C)300.
• D)Cannot be calculated from the given information.

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