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Calculate a delta neutral position

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Reference no: EM132477774

You have 500 shares purchased at $ 87 per share

A call with a delta of 0.7 and a strike of 87.50 sells for 0.90 (premium)

A put with a delta of 0.50 and a strike of 85 sells fro 0.40

If you are LONG on the stock, Calculate a delta neutral position.

(how many puts and calls do you need) and what is the cost?

Reference no: EM132477774

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