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Question

An investor has the following portfolio of over the counter options on ABC Ltd shares:


Type

Number Delta

Long 1000 0.25

Short 300 0.85

Long 400 -0.40


The current ABC stock price is $30. An exchnage traded call option with a delta of 0.60 currently sells for $6.


What trade call to take to make delta neutral? Show all working out.

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Trade call to make... View the full answer

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