assuming that instead of selling 100 calls you sell 100 40-strike puts. s = $40, k = $40, σ = 0.30, r = 0.08 , and δ = 0, t = 91 days. Suppose you enter into a put ratio spread where you buy a 45-strike put and sell two 40-strike puts. If you delta-hedge this position, what investment is required? What is your overnight profit if the stock tomorrow is $39? What if the stock is $40.50?
