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S&P 500 is now at 3,250. Ignore interest rate (assume everything is given in PV terms). Suppose you short a $10M portfolio with a beta

S&P 500 is now at 3,250. Ignore interest rate (assume everything is given in PV terms). Suppose you short a $10M portfolio with a beta of 1.2. S&P 500 is expected to rise by 2% (or by 65 points, 2% 3,250 = 65). What is the delta of your portfolio?

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