Question
You have a portfolio with 20 calls and 10 puts on the same share. The calls have delta 0.6 and the puts have delta -0.4.
You have a portfolio with 20 calls and 10 puts on the same share. The calls have delta 0.6 and the puts have delta -0.4. Each option is for 100 shares. How many shares would you need to buy or sell so that the portfolio of options and shares is delta neutral?
Group of answer choices
Sell 800 shares
Buy 800 shares
Sell 8 shares
Buy 8 shares
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Analysis For Financial Management
Authors: Robert Higgins, Jennifer Koski, Todd Mitton
13th Edition
1260772365, 978-1260772364
