Run a short option book like a trader: step through the simulated path day by day, trade stock and options, keep net delta inside the band and pass the mission.
A client bought 10 at-the-money calls from you. You keep the premium and the risk. Hold net delta inside the band at every close until the options expire.
D0 / 63
| IV \ Spot | −10% | −5% | −2% | 0% | +2% | +5% | +10% |
|---|---|---|---|---|---|---|---|
| +5 | +$3,008 | +$1,381 | +$49 | −$990 | −$2,146 | −$4,086 | −$7,805 |
| 0 | +$3,690 | +$2,287 | +$1,025 | $0 | −$1,169 | −$3,173 | −$7,076 |
| −5 | +$4,256 | +$3,160 | +$1,999 | +$989 | −$206 | −$2,314 | −$6,482 |
Instant shock, revalued at Black–Scholes with positions unchanged.
| Instrument | Position | Mid | Market value | Δ (sh) | Γ | Vega | Θ/day |
|---|---|---|---|---|---|---|---|
| C100 | −10 | 4.75 | −$4,754 | −549 | −35.99 | −198 | 28 |
| BOOK | −$4,754 | −549 | −35.99 | −198 | 28 |
Pick an option from the chain to trade it