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• Suppose you enter a position that buys one futures contract and 2 ATM put options, 1 year maturity

• Futures price is $44 and Put strike price is $40, Stock price is $40. Interest rate 10%. Each put option have a premium of $5

• Deltas of each asset:

–Futures delta:

–ATM put option delta:

• Delta of the portfolio is:

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92311756

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