A Hedge Ratio of 0

question 6

Multiple Choice

A hedge ratio of 0.85 implies that a hedged portfolio should consist of

• A)long 0.85 calls for each short stock.
• B)short 0.85 calls for each long stock.
• C)long 0.85 shares for each short call.
• D)long 0.85 shares for each long call.
• E)None of the options