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Suppose a $200 million bank has an average asset duration of 10 years and an average liability duration of 1 year. The bank's total debt ratio k i-L/Alis 09 , The bank plans to hedge its interest rate risk with an option. The call option has a delta of 0.33 and the put option has a delta 0.67. The T-note underlyirs the option contracts has a face value of $100,000, a market value of $112,000 and a duration of 8 years. Caicutate the number of contracts of the option needed for the hedge. Assume that there is no basis risk on the hedge. purchase approximately 3.032 put option contracts sell approximately 5.411 call option contracts sell approximately 2,000 put option contracts purchase approximately 6,155 call option contracts sell approximately 1,786 call option contracts Suppose a $200 million bank has an average asset duration of 10 years and an average liability duration of 1 year. The bank's total debt ratio k i-L/Alis 09 , The bank plans to hedge its interest rate risk with an option. The call option has a delta of 0.33 and the put option has a delta 0.67. The T-note underlyirs the option contracts has a face value of $100,000, a market value of $112,000 and a duration of 8 years. Caicutate the number of contracts of the option needed for the hedge. Assume that there is no basis risk on the hedge. purchase approximately 3.032 put option contracts sell approximately 5.411 call option contracts sell approximately 2,000 put option contracts purchase approximately 6,155 call option contracts sell approximately 1,786 call option contracts