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Determining the position delta

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Position Delta

If the following two portfolios contain the same delta points, what should be the number of CALL options contracts N in portfolio B?

Portfolio A: 5300 shares of IBM and 20 short put option contracts on IBM (each contract contains 100 put options) with put delta ?p = -0.60.

Portfolio B: A short position in 1000 shares of IBM and N Long call option contracts on IBM (each contract contains 100 call options) with call delta ?c = +0.5.

Reference no: EM132592922

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