Stock market portfolio with beta

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Reference no: EM131070624

You have a stock market portfolio with a beta of 1.15 that is currently worth $300 million. You wish to hedge against a decline using index options. Suppose you decide to use SPX calls. Calculate the number of contracts needed if the call option you pick has a delta of.50, and the S&P 500 Index is at 1.250. (Negative value should be indicated by a minus sign.)

Reference no: EM131070624

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