Suppose you have a stock market portfolio with a beta of 1.4 that is currently worth $150
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Suppose you have a stock market portfolio with a beta of 1.4 that is currently worth $150 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 contract you pick has a delta of .50, and the S&P 500 index is at 1200.
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