Portfolio a Consists of 150 Shares of Stock and 300

question 20

Multiple Choice

Portfolio A consists of 150 shares of stock and 300 calls on that stock. Portfolio B consists of 575 shares of stock. The call delta is 0.7. Which portfolio has a higher dollar exposure to a change in stock price?

• A) Portfolio B
• B) Portfolio A
• C) The two portfolios have the same exposure.
• D) Portfolio A if the stock price increases and portfolio B if it decreases
• E) Portfolio B if the stock price increases and portfolio A if it decreases

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