You are managing a pension fund with a value of $300 million and a beta of 1.07.

Question:

You are managing a pension fund with a value of $300 million and a beta of 1.07. You are concerned about a market decline and wish to hedge the portfolio.
You have decided to use SPX calls. How many contracts do you need if the delta of the call option is .62 and the S&P index is currently at 4,030?

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question

Fundamentals Of Investments Valuation And Management

ISBN: 9781266824012

10th Edition

Authors: Bradford Jordan, Thomas Miller, Steve Dolvin

Question Posted: