The hedge ratio (delta) of an at-the-money call option on IBM is 0.12. The hedge ratio of an at-the-money put option is -0.59. What is the hedge ratio of an at-the-money straddle position on IBM? (Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.) Hedge ratio We will derive a two-state call option value in this problem. Data: Se = 160; X = 170, 1+ r= 11. The two possibilities for Sy are 190 and 110, a. The range of Sis 80 while that of Cis 20 across the two states. What is the hedge ratio of the call? (Round your answer to 2 decimal places.) Hedge ratio b. Calculate the value of a call option on the stock with an exercise price of 170. (Do not use continuous compounding to calculate the present value of Xin this example, because the interest rate is quoted as an effective per period rate.) (Do not round intermediate calculations. Round your answer to 2 decimal places.) Call value