What initial position in 9 month silver futures is necessary

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Reference no: EM131237770

In Problem, what initial position in 9-month silver futures is necessary for delta hedging?

If silver itself is used, what is the initial position?

If 1-year silver futures are used, what is the initial position? Assume no storage costs for silver.

Problem :
What is the delta of a short position in 1,000 European call options on silver futures?

The options mature in 8 months, and the futures contract underlying the option matures in 9 months. The current 9-month futures price is $8 per ounce, the exercise price of the options is $8, the risk-free interest rate is 12% per annum, and the volatility of silver is 18% per annum.

Reference no: EM131237770

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