Business, 18.03.2021 14:00 confi3353

Could you help me with question c)? Suppose that JPMorgan Chase sells call options on $1.60 million worth of a stock portfolio with beta = 1.95. The option delta is 0.76. It wishes to hedge its resultant exposure to a market advance by buying a market-index portfolio. Suppose it use market index puts to hedge its exposure. The index at current prices represents $1,000 worth of stock.

a. How many dollars’ worth of the market-index portfolio should it purchase to hedge its position?
$2,371,200

b. What is the delta of a put option? (Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign.)
-0.24

c. Assuming the 1% market movement JP Morgan Should? Sell or buy / How many put contracts? (Negative amount should be indicated by a minus sign.)

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Could you help me with question c)? Suppose that JPMorgan Chase sells call options on $1.60 million...

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