Short-straddle P&L when vol stays low
Betting on low volatility, you sell an at-the-money straddle struck at $100: you short the $100 call for $5 and the $100 put for $3. At expiry the stock has barely moved, closing at $103. What is your net profit per share, in dollars (a loss is negative)?
Show hints (2)+
- Collect both premiums, then subtract what you owe on the in-the-money leg.
- Profit .
Answer
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5
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