What is the delta a put option

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Reference no: EM131561740

Suppose that JPMorgan Chase sells call options on $1.10 million worth of a stock portfolio with beta = 1.45. The option delta is .52. It wishes to hedge out its resultant exposure to a market advance by buying a market-index portfolio. Suppose it uses market index puts to hedge its exposure. Each put option is on 100 units of the index, and the index at current prices represents $1,000 worth of stock.

What is the delta a put option?

Compute the following: Assuming the 1 percent market movement, JP Morgan should (buy/sell) ____ put contracts. Assume a market movement of 1 percent.

Reference no: EM131561740

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