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You have a portfolio with 20 calls and 10 puts on the same share. The calls have delta 0.4 and the puts have delta -0.6.

You have a portfolio with 20 calls and 10 puts on the same share. The calls have delta 0.4 and the puts have delta -0.6. 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?

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