Solution

We seek the immediate change in the portfolio's value resulting from a change = 1.20 in the underlying price of oil. by [2]

	[2]
	[s1]
	[s2]

so a USD 1.20 rise in the price of oil will cause an approximate USD 1,560 rise in the position's market value.

Note that you should be able to do computations like these in your head. If a portfolio has a delta of 650 and the underlier's value drops one dollar, the portfolio will lose approximately USD 650 in value. If a portfolio has a delta of – 7,000 and the underlier rises 3, the portfolio will lose approximately USD 21,000 in market value.

[Return]