Hi, Is someone able to explain why the new holdings of the put and the stock are indeed 100,000? I appreciate the mark scheme notes as much and it must also be the case - but can't quite seem to get my head around it ... Thanks in advance.
Start with put-call parity. Differentiate twice. Delta(call) = Delta(put) + 1 and Gammas are equal. Go from there and get back to me if this doesn't sort it John
