You Want to Hedge a Stock Portfolio with a Beta

question 77

Multiple Choice

You want to hedge a stock portfolio with a beta 0.95 and a value of $150 million with S&P 500 call options. The options have a strike price of 1,100 and a delta of 0.62. If the index is currently trading at 1,128, how many options should you write?

• A) 1,996
• B) 2,089
• C) 2,147
• D) 2,193
• E) 2,038

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Definitions:

Allowances

Financial discounts or concessions granted to customers, employees, or other parties, often as incentives or for compensation for specific purposes.

Product

An item or service that is developed, manufactured, or offered for sale to meet consumer needs or desires.

SWOT Analysis

SWOT Analysis serves as a tool for strategic planning, enabling the identification and comprehension of a business or project's Strengths, Weaknesses, Opportunities, and Threats concerning competition or planning activities.

Quadrant D

A term not widely recognized in general context without additional context, suggesting it may be specific to certain models or theories.