Let the following data be given: Delta (variation of the price of the option in relation to
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Question:
Let the following data be given:
Delta (variation of the price of the option in relation to the price of the underlying) = 0.6; price of the underlying = 100; Value of a call on an underlying stock/security = 10; Value of this call on 100 shares = 1000.
Question 1: How can we cover the sale of 20 calls?
Question 2: How should the hedging of the position (purchase/sell) be changed?
Question 3: How many more shares?
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