You are holding call options on a stock. The stocks beta is .75, and you are concerned

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You are holding call options on a stock. The stock’s beta is .75, and you are concerned that the stock market is about to fall. The stock is currently selling for $5 and you hold 1 million options

(i.e., you hold 10,000 contracts for 100 shares each). The option delta is .8. How much of the market-index portfolio must you buy or sell to hedge your market exposure? p-69

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