Question
James owns a $10 million position in CPA stock, which currently trades at $50 a share. A 6-month call option and put options are available
James owns a $10 million position in CPA stock, which currently trades at $50 a share. A 6-month call option and put options are available with a strike price of $50. Call has a delta of 0.5977 and put has delta of -0.4023. What will create a delta neutral portfolio?
A. Buy 300,703 put options
B. Sell 334,616 put options
C. Sell 334, 616 call options
Can you show your work
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Corporate Finance Reader
Authors: Robert W. Kolb
2nd Edition
1878975536, 978-1878975539
