Question the option delta hedge ratio for a call on ajax, Ask an Expert

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Question: The option delta (Hedge ratio) for a call on Ajax stock is 0.7, while the delta for the put on Ajax stock is -0.3. You wish to hedge a portfolio of 100,000 shares of Ajax.

How many call options will you need to write to hedge your portfolio using the option delta as your basis, given writing calls is your only hedge mechanism?

How many put options will you need to acquire to hedge your portfolio using the option delta as your basis, given acquiring puts is your only hedge mechanism?

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Category:- Basic Finance
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