To hedge a short position in several call option contracts, a trader needs to: O a. Buy as many shares of the underlying stock as the delta of option position Ob. Short as many shares of the underlying stock as the number of option contracts O c. Buy as many shares of the underlying stock as the number of option contracts O d. Short as many shares of the underlying stock as the delta of option position S&P 500 Index is at 2780. A European June 21, 2020 SPX call option struck at 2500 is trading at $326.94. An identical put is trading at $35.15. A T-bill with 200 days to maturity (same time as option expiration) is quoted at a yield of 2.46. Which of the following arbitrage strategies will be profitable? O a. Buy the call write the put short the Index, Invest at the risk-free rate Ob. Write the call, buy the put short the Index, Invest at the risk-free rate Oc. Write the call, buy the put, buy the index, borrow at the risk-free rate Od. Buy the call write the put buy the index, borrow at the risk free rate