Business, 21.04.2020 15:29 shrafe

You are holding call options on a stock. The stock’s beta is 0.76, and you are concerned that the stock market is about to fall. The stock is currently selling for $16 and you hold 1 million options on the stock (i. e., you hold 10,000 contracts for 100 shares each). The option delta is 0.80. How much of the market-index portfolio must you buy or sell to hedge your market exposure?

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You are holding call options on a stock. The stock’s beta is 0.76, and you are concerned that the st...

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