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Suppose you have a stock market portfolio with a beta of 1 . 3 0 that is currently worth $ 4 9 3 million. You
Suppose you have a stock market portfolio with a beta of that is currently worth $ million. You wish to hedge
against a decline using index options. Describe how you might do so with puts and calls. Suppose you decide to use SPX
calls. Calculate the number of contracts needed if the call option you pick has a delta of and the S&P index is at
Note: Do not round intermediate calculations. A negative value should be indicated by a minus sign. Round your
answer to the nearest whole number.
Number of option contracts
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