Market closed, but not expired

Quantitative Finance Level 3

On Expiration Friday, the stock closed at 4pm EST at $10.36, and you are delta neutral. There was news at 405pm which sent the stock price down to $9.32, where it stayed. You are long ten calls and nine puts on the $10 strike, and short eight calls and seven puts on the the $9.50 strike.

You were able to contra-exercise all of your options, and expect everyone else to do act accordingly

How much stock should you buy/sell to remain delta neutral?

Assume that 1 option contract is the right to buy/sell 100 shares.


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