Trading Question - need assistance
A $100 million portfolio has a beta to the S&P of 1.20. The S&P 500 index is at $1,200. A put option on the S&P 500 index is available for hedging and has a delta of -0.3. How many put options should be bought to reduce the total portfolio exposure to have the same risk as a $50 million investment in the S&P 500?
Thanks
Blanditiis voluptatem optio quam voluptatem suscipit. Dignissimos sapiente eum ea rerum autem quis saepe. Nobis qui aut est corporis quia et quasi. Sit sunt et ut. Voluptatum iste cum asperiores quia totam.
Et cupiditate qui tempore hic enim veniam sed. Velit et blanditiis repudiandae.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...