Delta-hedge a two-leg option book
Your book holds 20 long put contracts (delta −0.30 each) and 50 short call contracts (delta +0.45 each). Every option contract is on 100 shares. To delta-hedge, do you buy or sell shares, and how many? (give the signed share count: positive = buy, negative = sell)
Show hints (2)+
- Book delta = Σ (contracts × option delta × 100), with short legs flipping sign.
- Hedge = −(book delta); positive means buy shares.
Answer
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2850
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