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You are holding call options on a stock. The stock's beta is 0.8, and you are concerned that the stock market is about to fall.
You are holding call options on a stock. The stock's beta is 0.8, and you are concerned that the stock market is about to fall. The stock is currently selling for $18 and you hold 1 million options on the stock i.e., you hold 10,000 contracts for 100 shares each). The option delta is 0.85. How much of the market-index portfolio must you buy or sell to hedge your market exposure? (Enter your answer in dollar not in millions.) Market index portfolio to
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