Suppose that JPMorgan Chase sells call options on $1.10 million worth of a stock portfolio with beta = 1.45. The option delta is 0.52. It wishes to hedge its resultant exposure to a market advance by buying a market-index portfolio. Suppose it use market index puts to hedge its exposure. The index at current prices represents $2,000 worth of stock and the contract multiplier is 200. a. How many dollars' worth of the market-index portfolio should it purchase? ✔ Answer is complete and correct. Market index portfolio Delta $ 829,400✔ . What is the delta of a put option? (Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign.) ✔ Answer is complete and correct. (0.48)✔

Suppose that JPMorgan Chase sells call options on $1.10 million worth of a stock portfolio with beta = 1.45. The option delta is 0.52. It wishes to hedge its resultant exposure to a market advance by buying a market-index portfolio. Suppose it use market index puts to hedge its exposure. The index at current prices represents $2,000 worth of stock and the contract multiplier is 200. a. How many dollars' worth of the market-index portfolio should it purchase? ✔ Answer is complete and correct. Market index portfolio Delta $ 829,400✔ . What is the delta of a put option? (Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign.) ✔ Answer is complete and correct. (0.48)✔

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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