The Hedge Ratio of an At-The-Money Call Option on KO

question 77

Multiple Choice

The hedge ratio of an at-the-money call option on KO is 0.2. The hedge ratio of an at-the-money put option is −0.3. What is the hedge ratio of an at-the-money straddle position on KO?

• A) 0.1
• B) −0.3
• C) −0.1
• D) 0.2

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