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Hard · Options & Greeks · Quant Trader interview question · options, greeks, charm, delta-hedging, time-decay
You are a market maker at a high-frequency trading firm. You are delta hedging a call option. The charm of the option is 0.02. Assume the market is closed for the weekend (3 calendar days). How many shares will you need to buy or sell on Monday morning to re-establish your delta hedge, solely due to the passage of time? Assume you initially had the perfect delta hedge on Friday close.