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How many calls must one buy-sell to return to a delta

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Reference no: EM132422016

Stock price = $73.0950

Exercise price=$66.00

Call price=$7.8258

call delta= 0.8593

Required:

Question 1: How many calls must one buy/sell to return to a delta neutral hedge on a 10,000 share stock holding? (1 call controls 100 shares)

Question 2: What is the total $ gain/loss on the calls sold/bought?

Reference no: EM132422016

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