Ask Question
25 August, 01:15

Laura has an equity portfolio valued at $11.2 million that has a beta of 1.32. She has decided to hedge this portfolio using SPX call option contracts. The S&P 500 index is currently 1402 with a $100 multiplier. The call option delta is. 582. What is the appropriate strategy for Laura to effectively hedge her portfolio? What is the appropriate strategy for Laura if she decides to use put contracts on the same index with the same expiration?

+2
Answers (1)
  1. 25 August, 03:15
    0
    Put Delta = call delta - 1 = 0.582 - 1 = - 0.418

    No of Options = (-11.2 million / (-0.418 * 1402)) * 1.32 = 25,227 options

    No of Contracts = 25,227 / 100 = 252 contracts
Know the Answer?
Not Sure About the Answer?
Get an answer to your question ✅ “Laura has an equity portfolio valued at $11.2 million that has a beta of 1.32. She has decided to hedge this portfolio using SPX call ...” in 📙 Business if there is no answer or all answers are wrong, use a search bar and try to find the answer among similar questions.
Search for Other Answers