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6. Reconsider the determination of the hedge ratio in the two-state model (Section 16.2), where we showed that one-third share of stock would hedge one option. What would be the hedge ratio for each of the following exercise prices: $120,$110,$100,$90 ? What do you conclude about the hedge ratio as the option becomes progressively more in the money? (LO 16-5) FIGURE 16.5 Implied volatilly of the SSP 500 (VoX noed expressed as an annualred standerd devation Source: Chicapo Round Options Exchangs, CBOE Wolatifitic Indes " (VIX") dats is provided by Chicago Bourd Options Exchunges hoopporated (CBOE) and CBOE asukes no warranties of awy knd with respect to this datz. Died with perminsion