Underlying trading at 100 and 20 annualized implied, Financial Management

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Underlying trading at 100 and 20 annualized implied

Underlying trading at $100, and $20 annualized implied volatility. You think IV is too low and decide to buy a 90-110 strangle with 3 months to expiration (DTE=63).

(Hint: a strangle is a combination of OTM PUT and OTM CALL.)

What is the delta and gamma of your strangle when purchased (priced at $20 annual vol)?

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Financial Management: Underlying trading at 100 and 20 annualized implied

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Financial Management: Underlying trading at 100 and 20 annualized implied

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