Calculate the hedge effectiveness of the volatility trading

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Reference no: EM13888830

Calculate the Hedge Effectiveness of the volatility trading implemented using the following daily P/L data. Please show work (formula used).

Future Price  

9375

9470

9385

 

Option price

205

237.5

205

Delta

49%

56%

50%

 

Value of Short Option Position 

-20500

-23750

-20500

Change in Value of Short Option Position

6500

-3250

3250

Long position in Future Contract

49

50

50

Change in Value of Long Futures Position

-4565

4565

-4760

Reference no: EM13888830

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