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Imagine that you're trading in a particular company's equity with the underlying price currently at 100, and you have to construct a Delta-Neutral strategy using only European Call options at strikes of 105 and 110. Assuming short-selling is allowed, and without doing any calculation on paper, how would the strategy look, if it exists?
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Global Markets Analyst Summer

Interviewed at Nomura

3.8
Sep 8, 2020

Imagine that you're trading in a particular company's equity with the underlying price currently at 100, and you have to construct a Delta-Neutral strategy using only European Call options at strikes of 105 and 110. Assuming short-selling is allowed, and without doing any calculation on paper, how would the strategy look, if it exists?

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