Question
Tina owns 8,400 shares of Sims stock that is currently selling for $64. A European call option on Sims with a strike price of $70
Tina owns 8,400 shares of Sims stock that is currently selling for $64. A European call option on Sims with a strike price of $70 is selling at $6 and has a delta of 0.40. A delta-neutral portfolio was created with put options when the stock price was $64. If the price of the underlying stock has moved to $65, and consequently, the delta of the call option with a strike price of $70 has increased from 0.40 to 0.425. What action should be taken to maintain a delta-neutral portfolio after the price of stock changed from $64 to $65?
A. | Long 10 call option contracts | |
B. | Long 6 put option contracts | |
C. | Short 10 call option contracts | |
D. | Short 6 put option contracts |
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