About market decline and wish to hedge the portfolio

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Hedging with Options (LO3, CFA3) You are managing a pension fund with a value of $300 million and a beta of 1.07. 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 .62 and the S&P Index is currently at 1230?

Reference no: EM131302891

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