You Manage a Stock Portfolio with a Beta of 0

question 63

Multiple Choice

You manage a stock portfolio with a beta of 0.90 and a market value of $250 million. S&P 500 index call options with a delta of 0.53 are available at a strike price of 1,100. If the index is currently trading at 1,084, how many call options should you write?

• A) 3,705
• B) 3,859
• C) 3,534
• D) 3,916
• E) 4,102