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You have a complex portfolio whose value is related to the S&P index; the index level ("price") is currently 3000. To simplify, interest rates and dividend yields are zero. You consider using put

You have a complex portfolio whose value is related to the S&P index; the index level ("price") is currently 3000. To simplify, interest rates and dividend yields are zero. You consider using put contracts (for $100 times the index level) to change your exposure to S&P index price movements. Value ($) Delta ($/index level unit) Portfolio 20,000,000 +14,000 If the S&P index changes by 1.09% overnight, by about how much does your portfolio value change in % terms, including the sign)? 

Apr 13 2021 View more View Less

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