Breakeven Scenario #2 | PuzzledQuant

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You are trading ING stock and options. The stock trades at 10 euros and a call option with strike 10 euros (at the money) has a premium of 0.40 euros per share. Assume the at-the-money delta is 0.5.

You buy 100 of these call options (each on one share) and immediately delta-hedge once by selling 50 shares at 10 euros. You then hold the whole position until expiry (no further rebalancing), and ignore interest, dividends and transaction costs.

At which two expiry prices of the underlying (in euros) do you break even? Give the lower price first, then the higher price, as two comma-separated numbers.

You are trading ING stock and options. The stock trades at 10 euros and a call option with strike 10 euros (at the money) has a premium of 0.40 euros per share. Assume the at-the-money delta is 0.5.

At which two expiry prices of the underlying (in euros) do you break even? Give the lower price first, then the higher price, as two comma-separated numbers.