Suppose that JPMorgan Chase sells call options on $$1\mathrm{.}10$ million worth of a stock portfolio with beta $=1\mathrm{.}45.$ The option delta is $0\mathrm{.}52.$ It

wishes to hedge its resultant exposure to a market advance by buying a market$-$index portfolio. Suppose it use market index puts to

hedge its exposure. The index at current prices represents $$2,000$ worth of stock and the contract multiplier is $200.$

a$.$ How many dollars' worth of the market$-$index portfolio should it purchase?

Answer is complete and correct.

Market index portfolio $$,829,400$

b$.$ What is the delta of a put option? $($Round your answer to $2$ decimal places. Negative amount should be indicated by a minus

sign.$)$

Answer is complete and correct.

Delta

$(0\mathrm{.}48)$

c$.$ Complete the following: $($Round your answer to $1$ decimal place. Negative amount should be indicated by a minus sign.$)$

Answer is not complete.