The Formula for Determining the Number of Stock Index Option $\times$

question 43

Multiple Choice

The formula for determining the number of stock index option contracts needed to hedge an equity portfolio is:

• A) (Portfolio beta \(\times\) portfolio value)/(Option vega \(\times\) Option contract value)
• B) (Portfolio beta \(\times\) portfolio value)/(Option theta \(\times\) Option contract value)
• C) (Portfolio beta \(\times\) portfolio value)/(Option delta \(\times\) Option contract value)
• D) (Portfolio standard deviation \(\times\) portfolio value)/(Option Beta \(\times\) Option contract value)
• E) (Portfolio standard deviation \(\times\) portfolio value)/(Option delta \(\times\) Option contract value)

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Definitions:

Glomerulus

A network of capillaries located at the beginning of a nephron in the kidney, where blood filtration takes place.

Collecting Duct

Duct within the kidney that receives fluid from several nephrons; the reabsorption of water occurs here.

Proximal Convoluted Tubule

Portion of a nephron following the glomerular capsule where tubular reabsorption of filtrate occurs.

Glomerular Filtrate

The fluid that is filtered from the blood through the glomeruli of the kidney during the formation of urine.