Question: Problem 16-10 Hedging with Options (LO3, CFA3) Suppose you have a stock market portfolio with a beta of.81 that is currently worth $580 million. You

Problem 16-10 Hedging with Options (LO3, CFA3) Suppose you have a

Problem 16-10 Hedging with Options (LO3, CFA3) Suppose you have a stock market portfolio with a beta of.81 that is currently worth $580 million. You wish to hedge against a decline using index options. Describe how you might do so with puts and calls. Suppose you decide to use SPX calls. Calculate the number of contracts needed if the call option you pick has a delta of 30, and the S&P 500 index is at 1,270. (Do not round intermediate calculations. A negative value should be indicated by a minus sign. Round your answer to the nearest whole number.) Number of option contracts Problem 16-10 Hedging with Options (LO3, CFA3) Suppose you have a stock market portfolio with a beta of.81 that is currently worth $580 million. You wish to hedge against a decline using index options. Describe how you might do so with puts and calls. Suppose you decide to use SPX calls. Calculate the number of contracts needed if the call option you pick has a delta of 30, and the S&P 500 index is at 1,270. (Do not round intermediate calculations. A negative value should be indicated by a minus sign. Round your answer to the nearest whole number.) Number of option contracts

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