It is December 16. 2015. A large commodity dealer has just sold calls on 3 million barrels of April crude oil futures contracts. The crude oil futures price is $59.29/bbl. The options expire on March 16, 2016. The strike price on the option is $62/bbl. The volatility of oil is 45% (annualized). The annualized continuously compounded interest rate is 1.25%.

What is the delta of this call? Please be specific about how to calculate the delta.

What is the delta of the entire short call position on 3 million barrels of crude oil futures (each call option is on 1000 crude oil futures)?

How do you hedge the above short call position? In other words, how do you make the position delta neutral?