A portfolio contains 10,000 shares of XYZ stock; the portfolio manager writes 10 XYZ calls. If the call delta is 0.455, what is the position delta?

Question

Quizplus · Accepted Answer

The position delta is calculated by multiplying the number of shares by their delta and adjusting for the options. The shares have a delta of 1, so 10,000 shares contribute 10,000 to the delta. The 10 written calls have a delta of 0.455 each, so they contribute -4.55 (10 * 0.455) to the delta. Therefore, the position delta is 10,000 - 4.55 = 9,545.

A Portfolio Contains 10,000 Shares of XYZ Stock; the Portfolio