Current underlying price at 100. Mean absolute deviation of 20.
1. What is the price of an ATM PUT and ATM CALL? What is the delta value of 2 long CALLs?
2. If you long 2 ATM CALLs, what position do you take in underlying shares to have a zero-delta position (Note long 2 CALL short underling to go delta zero is same as a straddle)?