Volatility Trading 101
An intuitive guide to delta hedging
Published in
5 min readMay 27, 2020
A large client wants to purchase 100,000 AAPL call options with the following parameters:
- Strike Price: 350
- Spot Price: 320
- Implied Volatility: 30%
- Risk-free rate: 8%
- Time until expiration: 1 year
