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ou are managing a pension fund with a value of $540 million and a beta of 1.00. You are concerned about a market decline and

ou are managing a pension fund with a value of $540 million and a beta of 1.00. You are concerned about a market decline and wish to hedge the portfolio. You have decided to use SPX calls. How many contracts do you need if the delta of the call option is .64 and the S&P Index is currently at 1,350?

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