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Business, 22.08.2019 17:30 rociodelgado82

You are holding call options on a stock. the stock’s beta is 0.6, and you are concerned that the stock market is about to fall. the stock is currently selling for $7 and you hold 1 million options on the stock (i. e., you hold 10,000 contracts for 100 shares each). the option delta is 0.66. 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 0.6, and you are concerned that the sto...
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