Delta Hedging

Starting
Position
$60.00
$62.00
20%
10%
5%
20
Prices from
18
16
14
12
10
Years to Maturity T =
0.385
0.346
0.308
0.269
0.231
0.192
Black-Scholes BS =
Delta D =
0.481
Stock Price S =
Strike Price K =
Volatility V =
Expected Return Rtn =
Risk-free Rate Rf =
Weeks to Maturity =
0.20
0.10
$62
$60
$57
$55
$52
$50
0.00
0.130
0.156
Weeks to Expiry =
54.167
65.000
1.00
$50
0.053
0.034
0.017
0.005
$51
0.080
0.055
0.031
0.90
0.012
$52
0.116
0.086
0.052
$54
0.160
0.126
0.084
$55
0.212
0.176
$56
0.269
$57
0.001
0.002
Delta
versus Stock Price
0.023
0.005
0.041
0.011
0.127
0.071
0.70
0.023
0.235
0.183
0.113
0.043
0.329
0.301
0.250
0.171
0.076
$58
0.388
0.370
0.326
0.244
0.50
0.126
$60
0.442
0.439
0.408
0.330
0.195
$61
0.489
0.501
0.488
$62
0.524
0.553
0.562
$63
0.547
0.591
0.623
$64
0.556
0.613
0.668
$66
0.550
0.618
0.692
$67
0.532
0.606
$68
0.503
0.579
$69
0.466
0.60
0.40
0.426
0.284
0.524
0.30
0.391
0.616
0.509
0.20
0.696
0.629
0.755
0.10
0.742
0.789
0.834
0.677
0.00
0.796
0.899
0.641
0.776
Stock Price
0.695
0.540
0.80
0.928
$70
0.423
0.493
0.591
0.733
0.922
$72
0.376
0.440
0.532
0.672
0.883
$73
0.329
0.384
0.467
0.599
0.815
$74
0.282
0.329
0.401
0.519
0.728
$75
0.239
0.277
0.336
0.438
0.630
$76
0.199
0.229
0.277
0.361
0.528
$78
0.163
0.186
0.223
0.290
0.430
$79
0.132
0.148
0.176
0.229
0.341
$80
0.105
0.117
0.137
0.176
0.263
$50
0.052
0.041
0.029
0.019
0.011
$51
0.078
0.063
0.048
0.034
0.021
$52
0.111
0.093
0.075
0.057
0.039
$54
0.151
0.132
0.111
0.089
0.066
$55
0.200
0.179
0.157
0.132
0.105
$56
0.255
0.235
0.212
0.186
0.157
$57
0.316
0.297
0.276
0.251
0.222
$58
0.381
0.365
0.346
0.325
0.299
$60
0.448
0.436
0.421
0.404
0.383
$61
0.516
0.507
0.497
0.486
0.472
$62
0.582
0.577
0.572
0.567
0.561
$63
0.644
0.643
0.643
0.643
0.645
$57
0.30
0.111
46.429
10
$55
0.40
0.098
40.625
$52
0.50
12
$50
0.60
36.111
$79
0.70
14
$76
0.80
0.087
16
$74
Distribution of Stock Prices
0.078
32.500
$72
0.90
18
$69
1.00
inc =
Change the stuff inside the

boxes
See:
http://www.gummy-stuff.org/hedging.htm
$67
B=
$80
2
$2.59
$64
A=
Weeks to Expiry =
$50
to
Decrement weeks by
$64
0.701
0.704
0.708
0.713
0.721
$66
0.754
0.759
0.766
0.775
0.787
$67
0.799
0.807
0.816
0.827
0.842
$68
0.839
0.848
0.858
0.871
0.886
$69
0.873
0.882
0.893
0.905
0.920
$70
0.901
0.910
0.920
0.932
0.945
$72
0.924
0.932
0.942
0.952
0.964
$73
0.942
0.950
0.958
0.967
0.976
$74
0.956
0.963
0.970
0.978
0.985
$75
0.968
0.973
0.979
0.985
0.991
$76
0.976
0.981
0.986
0.990
0.994
$78
0.983
0.987
0.990
0.994
0.997
$79
0.988
0.991
0.994
0.996
0.998
$80
0.991
0.994
0.996
0.998
0.999
$50
$2.59
$2.59
$2.59
$2.59
$2.59
$51
$2.59
$2.59
$2.59
$2.59
$2.59
$52
$2.59
$2.59
$2.59
$2.59
$2.59
$54
$2.59
$2.59
$2.59
$2.59
$2.59
$55
$2.59
$2.59
$2.59
$2.59
$2.59
$56
$2.59
$2.59
$2.59
$2.59
$2.59
$57
$2.59
$2.59
$2.59
$2.59
$2.59
$58
$2.59
$2.59
$2.59
$2.59
$2.59
$60
$2.59
$2.59
$2.59
$2.59
$2.59
$61
$2.59
$2.59
$2.59
$2.59
$2.59
$62
$2.59
$2.59
$2.59
$2.59
$2.59
$63
$2.59
$2.59
$2.59
$2.59
$2.59
$64
$2.59
$2.59
$2.59
$2.59
$2.59
$66
$0.28
$0.28
$0.28
$0.28
$1.28
$67
-$0.14
-$0.14
-$0.14
-$0.14
$0.86
$68
-$0.56
-$0.56
-$0.56
-$0.56
$0.44
$69
-$0.98
-$0.98
-$0.98
-$0.98
-$0.98
$70
-$1.41
-$1.41
-$1.41
-$1.41
-$1.41
$72
-$1.83
-$1.83
-$1.83
-$1.83
-$1.83
$73
-$3.25
-$2.25
-$2.25
-$2.25
-$2.25
$74
-$3.67
-$3.67
-$2.67
-$2.67
-$2.67
$75
-$4.10
-$4.10
-$4.10
-$3.10
-$3.10
$76
-$4.52
-$4.52
-$4.52
-$4.52
-$4.52
$78
-$4.94
-$4.94
-$4.94
-$4.94
-$4.94
$79
-$5.36
-$5.36
-$5.36
-$5.36
-$5.36
$80
-$6.79
-$5.79
-$5.79
-$5.79
-$5.79
1.2
$4.00
$2.00
Distribution of Gains after 2 weeks

$79
$76
$74
$72
$69
$67
$64
$62
$60
$57
$55
$52
$50
$0.00
-$2.00
-$4.00
-$6.00
Distribution of Gains after 2 weeks
-$8.00
18
16
14
12
10
versus Stock Price
$79
$76
$74
$72
$69
$67
$64
$62
$60
$57
Stock Price

Delta Hedging

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Delta Hedging

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Starting

Distribution of Stock Prices

Change the stuff inside the

Distribution of Gains after 2 weeks

Distribution of Gains after 2 weeks

versus Stock Price

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