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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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