DRW Interview Question: You have a Portfolio with Del... | Glassdoor

Interview Question

Trader Assistant Interview Chicago, IL

You have a Portfolio with Delta=50. How would you hedge it?

trading, financial engineering

Interview Answer

1 Answer


Buy one at-the-money put option for the portfolio. This will have a delta of -50. Thus the total delta will be 0.

Anonymous on Sep 25, 2012

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