... contracts of the S&P 50 0 put options with a strike
of 55 0 and a delta of 0 .50 . If the price of the S&P 50 0 drops to 54 0, the delta
of the options will climb to, say, 0 .55 . Thus, you will be ... write options
c14 JWBK147-Smith May 8, 2008 10:8 Char Count=
176 OPTION STRATEGIES
10
Price of Underlying Instrument
Profit
8
4
2
6
0
−2
−6
−8
−10
−4
40
41
42
43
44
4...