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An investor has a $2M portfolio of RUT (Russell 2000 Index). The RUT price is $1,765.74. The 7/6/22 (12 day) strike put delta is 0.759.
- An investor has a $2M portfolio of RUT (Russell 2000 Index). The RUT price is $1,765.74. The 7/6/22 (12 day) strike put delta is 0.759. Based on this information, USING CALLS, calculate the number of required options to be delta neutral.
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Bond Markets Analysis And Strategies
Authors: Frank J. Fabozzi
4th Edition
0130402664, 9780130402660
