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You are managing a pension fund with a value of $390 million and a beta of...

You are managing a pension fund with a value of $390 million and a beta of 1.70. You are concerned about a market decline and wish to hedge the portfolio. You have decided to use SPX calls. How many contracts do you need if the delta of the call option is 0.65 and the S&P Index is currently at 1250? (Do not round intermediate calculations. A negative value should be indicated by a minus sign. Round your answer to the nearest whole number.)

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Answer #1

Number of options contracts=390000,000*1.7/(0.65*1250)

Number of options contracts=816000

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