You Have an Equity Portfolio Valued at $1

Multiple Choice

You have an equity portfolio valued at $1.22 million that has a beta of .98. You have decided to hedge this portfolio using SPX call option contracts. The S&P 500 index is currently 3,092. The option delta is .639. How many option contracts must you write to effectively hedge your portfolio?

A) 4 contracts
B) 6 contracts
C) 8 contracts
D) 10 contracts
E) 20 contracts