Series 3: Exercise

Exercise

Calculate the change in value in the premiums for each of the following futures options.

1. _____ Call option with a delta of 1.0 whose underlying contract goes down in value by $3

2. _____ Call option with a delta of 0.1 whose underlying contract goes up in value by $3

3. _____ Put option with a delta of -1.0 whose underlying contract goes down in value b