What is the delta of a short position in 1,000 European call options on silver future? The options mature in eight months, and the futures contract underlying the option matures in nine months. The...

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What is the delta of a short position in 1,000 European call options on silver future? The options mature in eight months, and the futures contract underlying the option matures in nine months. The current nine-month futures price is $8 per ounce, the exercise price of the option is $8, the risk-free interest rate is 12% per annum, and the volatility of silver is 18% per annum.

Answered Same DayDec 24, 2021

Answer To: What is the delta of a short position in 1,000 European call options on silver future? The options...

David answered on Dec 24 2021
116 Votes
SOLUTION:
The delta of a European futures call option is usually defined as the rate of change of the option
price with respect to the futures price (not the spot price). It is
1( )
rTe N d
In this case, 0 8F  , 8K  , 0 12r   , 0 18  , 0 6667T  
2
1
ln(8 8) (0 18 2) 0 6667
0...
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