A trader was asked to show a bid to buy $110.00 calls from a customer. The stock
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Question:
The customer takes some time to think about it, and asks for a re-pricing of the deal.
The stock price is now $108.00, the interest rate is unchanged, the implied volatility is now 38% and there are 45 days until expiry.
The customer likes the price and hits your bid for options equivalent to 75,000 shares. How many shares must the trader buy/sell to neutralize the delta of the position?
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