You are managing pension fund with a value

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You are managing a pension fund with a value of $390 million and a beta of 1.80. You are concerned about a market decline and wish to hedge the portfolio. You have decided to use SPX calls. How many contracts do you need if the delta of the call option is 65 and the S&P Index is currently at 1,350? (Negative values should be indicated by a minus sign.)

Reference no: EM131613176

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