I was not sure where to post this question so I ask on the general forum.
I have a portfolio of options and equity and I would like to know my “total” exposure to a sector
I would like to calculate the “direct” exposure of options in a portfolio.
I was thinking converting my option into an equity like position like this: Delta * stock price * contract size…
But maybe I should just add the value of the option to the value of the stock to get my total exposure…
you need the contract size, which is 100 shares on the CBOE.
If you have 100 shares of stock with current price S0 and buy a contract of 100 at-the-money put options, then you have no downside exposure at least for life of the option
If you have 100 shares of stock with current price S0 and sell a contract of 100 at-the-money call options, then you have no upside exposure at least for life of the option
If you have 100 shares of stock with current price S0 and buy a contract of 100 at-the-money put options and also sell a contract of 100 at-the-money call options, then you have neither upside or downside exposure at least for life of the option, and in fact own a synthetic bond