Suppose you have a stock market portfolio with a beta of 1.15 that is currently worth $300

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Suppose you have a stock market portfolio with a beta of 1.15 that is currently worth $300 million. You wish to hedge against a decline using index options. Describe how you might do so with puts and calls. Suppose you decide to use SPX calls.
Calculate the number of contracts needed if the call option you pick has a delta of .50 and the S&P 500 index is at 4,050.

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Fundamentals Of Investments Valuation And Management

ISBN: 9781266824012

10th Edition

Authors: Bradford Jordan, Thomas Miller, Steve Dolvin

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