Multiple Choice
Laura has an equity portfolio valued at $11.25 million that has a beta of 1.27. She has decided to hedge this portfolio using SPX call option contracts. The S&P 500 index is currently 1,502. The option delta is .543. How many option contracts must Laura write to effectively hedge her portfolio?
A) 37 contracts
B) 42 contracts
C) 175 contracts
D) 181 contracts
E) 191 contracts
Correct Answer:
Verified
Correct Answer:
Verified
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