Question
You manage a share portfolio currently worth $250m Australian dollars. The beta of this portfolio is 0.75. Index put options trade on the S&P/ASX200 index
You manage a share portfolio currently worth $250m Australian dollars. The beta of this portfolio is 0.75. Index put options trade on the S&P/ASX200 index with a strike price of 6900. Calculate the number of index put options required to fully hedge this share portfolio. Note that S&P/ASX200 index options have a standard multiplier of $A10. Round your answer to the nearest whole number.
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Introduction To Finance Financial Management And Investment Management
Authors: Pamela P. Drake, Frank J. Fabozzi, Francesco A. Fabozzi
1st Edition
9811239657, 978-9811239656
