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#242easyOptions & Derivatives

Portfolio Delta Calculation

Asked at:Optiver
Part of:Options & Derivatives → Put-Call Parity & Payoffs

Problem

You hold the following portfolio on a single stock:

| Position | Quantity | Delta per unit | |----------|---------|---------------| | Long stock | 100 shares | +1.00 | | Long calls (strike 100) | 50 contracts | +0.60 | | Short calls (strike 110) | 200 contracts | +0.45 | | Long puts (strike 95) | 50 contracts | -0.30 | | Short puts (strike 90) | 20 contracts | -0.50 |

What is the total portfolio delta? How many shares would you need to trade to make the portfolio delta-neutral?

Enter the portfolio delta as a decimal rounded to 4 decimal places.

Constraints

  • •Delta is additive across positions
  • •Short positions flip the sign
  • •Output rounded to 4 decimal places
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