You are managing a pension fund with a value of $465 million and a beta of 0.82. You are concerned about a market decline and wish to hedge the portfolio. You have decided to use SPX calls. How many contracts do you need if the delta of the call option is 0.62 and the S&P Index is currently at 1,230? (Writing options should be indicated by a minus sign. Round your answer to the nearest whole number.)

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You are managing a pension fund with a value of $390 million and a beta of 1.8. You are concerned about a market decline and wish to hedge the portfolio. You have decided to use SPX calls. How many contracts do you need if the delta of the call option is 0.65 and the S&P Index is currently at 1,350? (Writing options should be indicated by a minus sign. Round your answer to the nearest whole number.) Contracts -8,000 + 0.1% Explanation Portfolio beta x Portfolio value Number of option contracts Option delta x Option contract value 1.8 * $390,000,000 Number of option contracts = -8,000 (contracts to write) 0.65 x 1,350 $100